Quantitative Analyst - Model Validation Quant

Quantitative Analyst - Model Validation Quant #192766Numer ref.: 192766

The Model Risk Management (MRM) team is responsible for reviewing and approving the models used in the bank in order to ensure that the risk due to design and use of models is accurately managed and adequately mitigated. An outstanding opportunity to join us as a new member of the team and you will get the opportunity to acquire modeling experience in a wide variety of business areas such as Advisory, Asset and Portfolio Management, Sustainable Finance (ESG), Climate Risk, Algorithmic Trading etc. The high regulatory focus on these innovative areas, the team’s expertise and visibility to senior management gives you an ideal baseline for shaping your future career.

Responsibilities:

As a model validator, you will manage and perform validation reviews following the global standards described in the supervisory guidance SR 11-7 on Model Risk Management issued by the Federal, covering the following:

• Review the mathematical foundation of the model, assessing the correctness of the model equations and theory.
• Develop alternative benchmarks, design backtesting or other methodologies to test the conceptual soundness of model assumptions and assess their respective limitations.
• Assess if the model is implemented correctly, via independent re-implementation of the model in spreadsheets or coding language (Python, R, VBA etc.).
• Test the model sensitivity and stability to changes to the inputs and market environment.
• Responsibility for the creation of technical reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model partners.
• Continuous interaction and collaboration with partners from a wide range of internal business areas.

Your future colleagues

The team is dedicated, hardworking and used to work independently as well as collaboratively. We work with a high level of integrity, attention to detail and look for a colleague who shares our passion and high standards. We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values.