My client, a leading Tier One Global Bank are looking for an Associate level IRB model validation specialist.
You'll be working alongside industry experts in model risk management, with opportunities for growth and continuous learning.
There will be the opportunity to take on high-profile responsibilities, including the evaluation of cutting-edge Internal Ratings-Based (IRB) models and engagement with regulatory bodies working in an inclusive and engaging environment.
The role:
Conducting rigorous assessments of IRB models, particularly wholesale IRB, to evaluate assumptions, mathematical methodologies, and implementations.
Testing models independently to ensure they perform accurately and robustly under a variety of scenarios and market conditions.
Identifying risks and limitations in models, quantifying these risks, and proposing practical solutions.
Producing detailed validation reports and presenting findings to senior leadership and key stakeholders.
Building strong relationships with global teams and regulatory bodies, contributing to timely and accurate submissions.
What the successful candidate can bring:
An advanced degree (Master's or PhD) in a quantitative discipline such as Finance, Mathematics, Physics, Engineering, or Economics.
Expertise in mathematical finance, derivative pricing, and numerical techniques.
Knowledge of IRB concepts such as Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), stress testing, and IFRS9.
Familiarity with market and credit risk regulatory requirements.
Experience in developing models using Python, R, or Excel VBA.
Strong communication skills, both written and verbal, to engage effectively with diverse stakeholders.
A proactive approach and the ability to thrive in a fast-paced, multi-tasking environment.