Specialist Model Risk
Wrocław Specialist Model Risk
Wrocław
NR REF.: 1123526
Job Description
Within Model Risk Management we are looking for a Specialist who will contribute to highly visible enterprise-wide model validation function in the organization. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. The role will be to execute enterprise standards for model validation. The incumbent will be responsible for identifying and evaluating model risk and propose controls to manage that risk. This will entail following the scope of a validation effort and executing tests and reviews. The incumbent may work in one of five disciplines, each responsible for a different type of modeling:
Responsibilities:
Wrocław
NR REF.: 1123526
Job Description
Within Model Risk Management we are looking for a Specialist who will contribute to highly visible enterprise-wide model validation function in the organization. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. The role will be to execute enterprise standards for model validation. The incumbent will be responsible for identifying and evaluating model risk and propose controls to manage that risk. This will entail following the scope of a validation effort and executing tests and reviews. The incumbent may work in one of five disciplines, each responsible for a different type of modeling:
- Credit Risk Modeling
- Treasury Modeling
- Market Risk Modeling
- Pricing Modeling
- Forecasting
Responsibilities:
- Executes enterprise standards for model validation by applying techniques and methodologies to test assumptions and review outcomes of a model.
- Tests and reviews align to the validation scope established by more senior colleagues.
- The incumbent will be responsible for identifying and evaluating model risk and proposing controls to manage that risk.
- Subsequent to the validation of a model, the incumbent is expected to lead projects that automate prior testing, allowing risk to be assessed on a dynamic basis.
- May be required to construct shadow models that run alongside those in production, allowing Model Risk Management to monitor performance in real time.
- Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, econometrics.
- The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills.
- Up to 2 years of experience
- Must have experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages (such as R, Python, C/C++, C#, Java, FORTRAN, MATLAB, SAS) as well as mathematical/statistical software packages.
- Must be extremely focused, detail oriented, results oriented and highly productive.
- Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time.
- The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.
- Full time contract of employment
- Competitive salary
- Health & Life Insurance
- Multisport card / Cinema Tickets / Nursery subsidiary
- Pension scheme
- Excellent opportunities for training, growth and professional development
- Opportunities to engage in diverse projects due to growth of business migrations
- A multitude of opportunities to get involved in additional charity projects
- A collaborative culture and great teams
Prosimy o aplikowanie poprzez przycisk znajdujący się po prawej stronie ogłoszenia.
