Model Validation Quant for Credit Risk & CCR Models (VP, Dir), Luxembourg

  • Circa €110K + Bonus + Benefits & Relocation
  • Luxembourg Luxembourg Luxembourg LU
  • Permanent, Full time
  • Millar Associates
  • 18 Jun 18 2018-06-18

This top-tier Investment Bank seeks a senior Model Validation Quant to independently validate models and model appropriateness and help provide a structured process for independent review, testing, and approval. They seek someone with good communication skills, able to liaise with audit & regulators and other risk quants across the bank. We seek expertise across Credit Risk models (PD, LGD) and Counterparty CCR exposure models. Also, knowledge of Fixed Income derivative models (Rates, Inflation, Swaps) will also be useful as in order to validate models across various areas.

Areas: Credit Risk & CCR Models, CVA, Fixed Income Derivatives 

KEY RESPONSIBILITIES:

  • Independently review models of Credit Models and, depending upon experience, a range of Fixed Income models
  • Discuss the results of reviews and implementations with other Quants and Risk Managers
  • Test model inputs, methodology & implementation: challenge underlying assumptions
  • Write model validation reports and recommend remedial action
  • Interface with model stakeholders and Audit to justify validation findings
  • Develop and maintain an inventory of all models used
  • Contribute to compliance with the Basel II/III regulatory framework for model validation
  • Participate in enhancement of risk management best practice

ESSENTIAL SKILLS & EXPERIENCE:

  • MSc in scientific subject or finance
  • 5 years+ of experience in a Quant role with experience gained in one of the following:

    - Credit risk models including: IRB models, including PD, LGD and CCF.
    - OTC Derivatives models
    - Counterparty risk models (CCR), including PFE & CVA
    - Interest Rate, Swaps, Fixed Income products
     
  • Knowledge of BCBS regulations and best banking practices in Model Val
  • Expertise in Matlab, SAS, C++ and/or C#. (Numerix, an advantage)
  • Experienced in working with regulators, auditors, and compliance
  • Good knowledge of English or French