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The successful candidate will be mainly involved in the validation of quantitative models of all risks related to economic capital and stress testing framework, including Market, Credit, Liquidity and IRRBB models, as well as behavioral and prepayment models used by the ALM department. The candidate will assess through quantitative/statistical techniques the model conceptual soundness and performance, ensuring adherence with regulatory requirements and alignment with industry best practice. All testing and findings are to be documented in validation reports including recommendations for model improvements.
The ideal candidate should have:
1-2 years of experience in primary financial institutions or consulting firms;
A degree in mathematics/statistics/econometrics (or equivalent) with a strong quantitative background including knowledge of statistical inference and hypothesis testing;
An up-to-date knowledge of the regulatory framework (Basel III/IV);
Knowledge of programming languages such as SAS, Python, R or VBA;