Quantitative Analyst for Credit Risk Model Validation
The Regulatory Credit Risk & Scoring Model Validation team is looking for a skilled Quantitative Analyst to validate models for IRB credit model validation.
* 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.
Key Responsibilities:
Data Evaluation: The successful candidate will be responsible for evaluating the risk dimensions of models, including data quality, methodology, performance, and monitoring.
Validation Reporting: They will prepare a comprehensive validation report and present findings to the validation committee.
Implementation Oversight: The analyst will monitor the implementation of recommendations designed to enhance the models.
Regulatory Developments: Conducting oversight of regulatory and methodological developments in the field of credit risk modeling.
Requirements:
Qualifications: A Master's degree in a quantitative field is required. Prior experience of at least 3 years in credit risk modeling or validation is necessary.
Skills: Familiarity with regulatory texts including Basel IV, EBA Guidelines, CRR/CRD, and Collateral eligibility is essential. Excellent writing skills, capacity for synthesizing complex information, and advanced written and spoken English and French as a plus.
Additional Information: We are committed to creating a diverse and inclusive workplace where everyone feels valued and respected. If you are passionate about financial modeling and want to join a dynamic team, please apply.