Credit Risk Model Validation | Risk

Within the Model Risk Management (MRM) department the Credit Risk & Non-Financial Model Validation teams are organized into four teams: Regulatory Credit Risk & Scoring Model Validation, IFRS9 and Credit Stress Test Model Validation, ALM Model Validation, and Compliance & Non-Financial Risk Model Validation. The Regulatory Credit Risk & Scoring Model Validation team is looking for a Quantitative Analyst to validate models for IRB credit model validation. 

The collaborator will be tasked with validating models in the Non Retail Credit Risk Model Validation domain. The responsibilities associated with this validation process include:

• Evaluating the risk dimensions of models (including data, methodology, performance, monitoring, usage, and documentation);
• Preparing a validation report and presenting findings to the validation committee;
• Monitoring the implementation of recommendations designed to enhance the models;
• Conducting oversight of regulatory and methodological developments. 

• Master's degree in a quantitative field.
• Prior experience, at least 3 years, in credit risk modeling or validation within the banking sector is necessary.
• Familiarity with the regulatory landscape and texts related to risks including (NDOD, Basel IV, EBA Guidelines, CRR/CRD, Collateral eligibility, ECB Guide to Internal Models);
• Understanding of modeling techniques (including statistics, economics, machine learning algorithms, etc.);
• Expertise in programming languages such as Python, SQL, and R;
• Expertise in Microsoft Office applications (Excel, PowerPoint, Word);
• Excellent writing skills and capacity for synthesizing complex information;
• Advanced written and spoken English and French as a plus.

Soft Skills: 

• Ability to work independently;
• Attention to detail;
• Proactive mindset;
• Excellent interpersonal communication;
• Competence in written communication.

We will only consider English Cv's.

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