Model Risk Analyst

oin our team of Model Risk Stewards where youll be part of Independent Model Review (IMR) a specialized quantitative group dedicated to validating models. Regardless of your experience level in quantitative model validation from entrylevel graduates to seasoned professionals we encourage you to apply as we have roles suited to various levels.

Tasks

• Perform independent model validations as part of a specialist quantitative team called Independent Model Review.
• Conduct quantitative and qualitative research with focus on model data design performance and implementation for one of our functional streams. We cover various types of models including credit risk models (e.g. IRB IFRS9 Stress Testing Economic Capital application and behavioural scorecards) climate risk models as well as market risk models (e.g. VaR IRC RNIV Exposure at Default CCR RWA pricing models algorithmic trading models ALCM models Valuation models).
• Assess quantitative or expertbased models to identify their assumptions and limitations. Formulate opinions about conceptual soundness of models design and their adequacy for intended usage. This includes quantification of model risk drivers and assessment of their impact on the

Requirements

• Academic degree (MSc or PhD) good fits are: Statistics Mathematics Physics Econometrics Quantitative Finance or related fields.
• Programming skills knowledge of one of the following: R Python SAS Matlab C or SQL.
• Good written and verbal communication skills in English.
• Experience in independent model validation model building and/or quantitative research (for the more senior roles).
• Professional qualifications (e.g. PRM FRM CQF) are beneficial.