General Information
Job ID
7384
Company
UniCredit S.p.A
Competence Line
Internal Audit
Country
Italy
City
MILANO
Job Type
Professional
Functional area
Audit
Working time model
Full-time
Contact
Paolo Giannoccoli, paolo.giannoccoli@unicredit.eu
Group Financial Risk Management Audit is responsible for carrying out audit activities on market, liquidity, interest rate, counterparty and "other trading credit risk" (FX Settlement risk, issuer risk) of UniCredit SpA and the other Legal Entities, also at the request of the other Internal Audit structures
What you'll be doing
Audit activities on the risk management processes relating to market risks, counterparty risks and "other trade credit risks" (FX settlement risk, issuer risk in the Trading Book, issuer risk in the Banking Book),
Audit activities on the development and validation of internal models, pricing and valuation risk framework with particular reference to the provisions of the Basel regulations on internal models (Pillar I and Pillar II)
Audit activities on the general revision of the Trading Book (Fundamental review of the Trading Book - FRTB)
Audit activities on the risk management processes relating to the management of liquidity risks, interest rate risks of the banking book, behavioral models for liquidity and interest rate risk
What you'll need to succeed
Be able to:
map and analyze processes within the organization, redesign them in order to optimize performance, quality and speed
Qualifications: Degree in Physics/Mathematics, Quantitative Finance or equivalent.
Knowledge and understanding of Quantitative Finance Risk concepts and financial market models, pricing functions.
Knowledge and use of C++, R, Bloomberg, Thomson Reuters is a preferential title;
Knowledge of Python is a preferential title;
English fluent.
Knowledge of Internal Liquidity Adequacy Assessment Process (ILAAP)
Knowledge of ALM/Liquidity Risks, Interest Risk in the Banking Book
Knowledge of Counterparty Risk Internal Model Method
Knowledge of Fundamental Review of the trading Book
Knowledge of Internal models for calculating capital requirements, Basel 3 topics and SREP Pillars
Knowledge of Market Risk Management and Market Risk Internal Model
Knowledge of Financial instruments involved in the Investment Banking Business (Derivatives Instruments)
Knowledge of Pricing of derivative instruments
Knowledge of Trading and sales activities
What you'll get in return
People are our greatest asset, thanks to their diverse experiences, skills and perspectives. Our mission is to create the right environment and provide the tools that allow our talents to achieve challenging goals. UniCredit University is the framework developed to guarantee a common and transparent approach to development opportunities across the Group, through a customized offer for training and professionals development
About UniCredit Group
UniCredit is a pan-European Commercial Bank with a unique service offering in Italy, Germany, Central and Eastern Europe. Our purpose is to empower communities to progress, delivering the best-in-class for all stakeholders, unlocking a better tomorrow for our clients and our people across Europe. We serve over 15 million customers worldwide. They are at the heart of what we do in all our markets. Digitalisation and our commitment to ESG principles are key enablers for our service. They help us deliver excellence to our stakeholders and creating a sustainable future for our clients, our communities and our people. We are an equal opportunity employer. We stand together in nurturing a workplace that welcomes diverse thinking and inclusive behaviors. Making all voices heard and leveraging "diversity of thought" regardless of gender identity, age, race, ethnicity, sexual orientation, ability, cultural background, we ensure sustainable growth and new business opportunities, a strong drive for innovation and creativity, as well as a general improvement of the work climate with positive impact on productivity, well-being and engagement of our people.
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