| Unfortunately, we won't be able to process applicants who require a visa or sponsorship to work in the EU. Main responsibilities:
* Comprehensive model reviews to assess conceptual soundness, data integrity, performance, implementation and adherence to regulatory and/or internal requirements.
* Documentation of conducted assessments and findings in thorough review reports including recommendations for model improvements.
* Tracking completion of review recommendations.
* Providing guidance and technical support to junior team members.
Requirements:
* Master's or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.
* Experience with some statistical modelling software / programming language e.g. SAS, Python, R, Matlab, C++, VBA.
* Ability to clearly articulate technical topics in English, both written and spoken.
* Team-oriented mentality combined with ability to complete tasks independently to a high quality standard.
Credit Specific Requirements:
* Prior experience with development or validation of one or more of the following model types:
o Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD)
o Application and Behavioral scorecards
o Stress Testing
o IFRS9
Market Specific Requirements:
* Knowledge in one or more of the following areas: Stress Testing and Scenario Analysis models, Traded Risk and Pricing Models, Global Markets Trading & Hedging models, Asset Liability Models etc.
* Strong understanding of highly exotic derivatives trades.
 |
