As Model Risk - Senior Auditor you will be challenging the models and assessing the model design, development, validation, implementation, and monitoring, together with a project team of auditors and risk specialists.
Roles and responsibilities
Your tasks will consist of well-known validation and test techniques for both regulatory (e.g. AIRB, VAR/Expected Shortfall, IMM) and non-regulatory models (amongst others: credit application, Pricing/Valuation, IFRS models). Machine Learning models is part of non-regulatory models. You will report your audit findings, including suggestions for improvement and concrete recommendations, and present them to senior management.
You will challenge your counterparts from model development, global analytics, risk measurement, and model validation towards developing industry best practices and new modeling techniques.
Ideally, you should:
- Have strong analytical skills and the ability to challenge and improve models and algorithms used within the bank.
- Be able to translate complex modeling problems to their effect and impact on the bank's operations is a key to success.
- Possess good communication and presentation skills. The candidate should have a proactive attitude and a creative mindset.
Have a university degree (MSc or Ph.D.) in econometrics, mathematics, physics, or other quantitative topics.
Have more than 4 years of relevant work experience within a financial institution/university
Have good programming skills in Python/ R/ Matlab/ SAS
Are fluent in English (fluency in other languages is appreciated).
Are keen in exploring many aspects of financial modeling.
Are willing and free to travel, dependent on the assignments (approximately 6 weeks per year).