Model Validator - Market Risk/CALM

Utrecht

About the job

As a Model Validator in this company, you can become an expert in analyzing and critically challenging several categories of risk models and get the understanding of the related risks. On the way, you will learn how to assess the quality of data; challenge state-of-the-art modelling techniques and/or checking the implementation and use of models. A Senior Model Validator gets the opportunity to challenge it all!

Your jobImagine you bringing the CALM (Capital and ALM) Model Validation team to the next level. CALM team consists of three clusters. These are the Markets Risk and Counterparty Risk cluster, the ALM cluster (interest rate risk and liquidity risk) and the RC+ & Operational Risk cluster. As a Model Validator you can make a difference by validating models and innovating sophisticated solutions within a group of highly educated professionals. You can become an expert in analysing and critically challenging a variety of risk types. You will have the opportunity to learn techniques in assessing big data sets, effectively challenge quantitative models and check the implementation in production systems.

Your working environment
Model Validation operates independently of the model development departments at the company to ensure the objectivity of the validation process. It covers the model risk dimensions of data, methodology, implementation and use. The outcome of the validation process affects every level of the organisation – from individual client acceptance to strategic decision making and steering. It is a vital team for assuring model driven decisions are of good quality. This responsibility is shared across the team of about 25 specialists in a very international and diverse environment. This diversity, in terms of cultural background, gender, academic and working experience creates an optimal blend. We value team players who are smart, persistent, take their role seriously and are committed to finish the job.

Requirements

  • Strong experience in financial mathematics, behavioural models, stochastic calculus and econometrics, as well as the most recent developments in these fields for at minimum 5 years
  • Work experience in previous roles in model validation is strongly preferred
  • Proven understanding of risk management practices within the financial services industry especially in modelling.
  • Good knowledge of regulatory requirements (e.g. Basel, FRTB)
  • Experienced in modern programming languages (Matlab, C++, Pyhton, R) and/ or statistical software (SAS)

Company profile

Our client is on the trend of greater use of models. Driven in part by regulation but the growing reliance on models manifests in all areas of the company. For risk management purposes the company has models in place for a.o. credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet. These models use market and client data to predict among others, the client behaviour and their risk profile based on the client characteristic, economy and market.

Outside the risk management domain, model-based decision making becomes increasingly important and accepted. Models are also used for pricing, marketing, portfolio management, HR and in multiple other areas and innovative solutions. The Model Validation team is the main party challenging the quality of the models in the company. As a result of the increase of the usage of models, their scope is continuously expanding.
This increase requires also challenging models with new techniques, causing a stimulating and dynamic work environment. Do you enjoy an analytic job which makes a difference in the organization? Do you seek for a challenging and dynamic job with the opportunity of steep learning? Join this team aimed to manage the companies model risk in the best possible way.

At a glance
Match criteria
Specialization
  • Quantitative Finance
Seniority
  • Medior
Recruitment form
  • Permanent
More information
Dennis Yap
Mobile: (06) 1439 3978
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