Join us as a Model validation specialist!
Are you ready to shape the future of capital markets? We are looking for a Model validation specialist to join the Model Risk LOD2 Team in Rome. This is a position offering an exciting opportunity to contribute to our mission.
Key accountabilities:
• Independently validate risk models designed by LoD1 used to measure market (mainly), credit risk and liquidity risk
• Timely analyse significant changes to a model through a standardize approach and issue recommendations/suggest alternatives
• Programming replica algorithms of production Models
• Development and analysis of Sensitivity tests, VaR backtesting, stress testing, reverse stress testing
• Input data validation, implement process improvements to streamline data analysis and reporting
• Liaise with Regulators for MV topics
• Interact effectively with model designer and model developers (IT)
• Presenting findings and recommendations to management and stakeholders
• Anticipate the impacts of new business initiatives on the MV activities
Additional activities:
• Draft technical specifications in the area of Credit and Counterparty risk (SA-CCR) following the launch of new products
Knowledge, Skills and Experience Required
• Master’s Degree in Quantitative Finance, Engineering, Mathematics, Statistics, Physics or equivalent
• Strong knowledge of financial markets and instruments, pricing, risk indicators
• 5-7 years of work experience in the banking or financial services industry, including regulators or consultancy firms
• Proficiency in Microsoft Office package
• Strong knowledge of programming languages (e.g. Matlab, Python, SQL, Julia, C++,…)
• Strong analytical skills, critical thinking and problem solving attitude
• Fluency in both spoken and written English
• Strong attitude to teamwork and ability to work well under pressure
• Excellent communication skills and outcome oriented
• Knowledge of info providers (Bloomberg, Reuters)
We are proud to be an equal opportunity employer. We do not discriminate against individuals on the basis of race, gender, age, citizenship, religion, sexual orientation, gender identity or expression, disability, or any other legally protected factor. We value the unique talents of all our people, who come from diverse backgrounds with different personal experiences and points of view and we are committed to providing an environment of mutual respect.
Additional Information
This job description is only describing the main activities within a certain role and is not exhaustive. It does not prevent to add more tasks, projects.