Support the US team to conduct model development activities for investment portfolio exposures that are compliant with regulatory and internal Model Risk Management guidelines:
- Review of the quantitative methods for risk measurement used in the industry as well as proposed by academia.
- Working with data providers and internal counterparties with subject expertise to determine the development data.
- Preparation of the algorithms and codes used to estimate the model.
- Presentation of the results during workshops with business counterparties and senior management. Application of suggested improvements.
- Assessing the stability and robustness of models by conducting backtesting, benchmarking, sensitivity testing, and stress testing.
- Preparation of model technical documentation and ongoing monitoring plan.
- Cooperation with the information technology professionals during preparation and testing of model implementation.
- Cooperation with Model Risk Management during model validation stage. Incorporation of suggested remediation actions.
Support the US team in providing relevant risk reporting and analytics with respect to investment portfolio exposures
- Previous experience in independent model development of risk/financial models in banking industry.
- PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
- 3+ years of programming experience with SAS, R, Matlab, SQL, and Python.
- Good communication skills (verbal and written in English).
- Ability to execute on competing priorities in a timely manner.
- Quick learner.
- Minimum 3 year of experiences in risk management in banking industry.
- Hands on experience in model development and/or model validation.
- Understanding of fixed income markets and/or consumer/commercial finance
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