A large bank in the Netherlands are growing their Model Risk Audit team, and a looking for specialized in Trading Risk Modelling to join them. In cooperation with the Model Development and Validation functions, you will deal with Model Risk Audits across different international teams and assess the AIRB models of the bank. This position is offering an exceptional career path and the opportunity to work with experts in your field.
RESPONSIBILITIES:
*Perform accurate and precise audits of Market Risk & Pricing Models regard to the bank's
regulatory standards, and report them to senior management
*Engage in the validation and review of VaR and Pricing models as well as non-regulatory IFRS9
models.
*Provide detailed reports and reviews of the Trading Risk Modelling processes, and communicate
them to stakeholders both in the front office and the Methodology team.
*Using your analytical skills, contribute to the continuous improvement of Market Risk Modelling
and analysis
*Cooperate closely with the Model Validation and Development team to ensure continuous
improvement of industry techniques and developments of modelling technique.
REQUIREMENTS
*An advanced degree or equivalent in an Econometric, Mathematics, Physics, Finance.
*Minimum 4 years' experience in the model validation / development / audit team of a financial
institution
*Strong understanding and experience with Market Risk / Pricing models
*Very good knowledge of banking regulations
*Good programming knowledge in SAS / Python / Matlab / R
