Model Validation

Encontrado en: beBee S ES - hace 4 semanas

Del Monte, España Santander A tiempo completo
Model Validation - Credit Risk Specialist

Country: Spain

At Santander (www.santander.com) we are key players in the transformation of the financial sector. Do you want to join us?

Credit Risk, Interest Rate Risk, liquidity risk, operational risk, reputational risk... There are many types of risks, that's why it analysis and quantification is key for our purpose of being a Simple, Personal and Fair bank.

Working on risks means doing it from a management perspective that contributes to the sustainable progress of people and companies.

Santander is proud of being an organization where there are equal opportunities regardless of gender identity, culture and disability. Our mission is to contribute to help more people and business prosper. We embrace a strong risk culture and all of our professionals at all levels are expected to take a proactive and responsible approach toward risk management.

WHAT YOU WILL BE DOING

The credit risk model validation team is responsible for the independent validation of every new credit risk model. Models should be properly designed, tested, validated and approved before they can be used for risk management purposes, and every existing model being used has to be periodically monitored, calibrated and if necessary, modified or replaced, once it has been properly validated and approved.

We need someone like you to help us in different fronts:
• Conduct a critical analysis to understand and challenge the model and its assumptions.
• Perform a critical analysis of the data used to build the model and the methods applied for the sample selection;
• Execute a critical analysis of the technological environment were the model will be used assessing its implementation in production systems;
• Assess the performance of the model;
• Review the monitoring and the back testing results performed by model users and/or developers;
• Engage in a continuous and fluent relationship with different stakeholders: model owners, portfolio managers, model developers and external parties.
• Be able to provide an independent view on models being fit-for-purpose, and to communicate it effectively to a variety of internal and external stakeholders

REQUIREMENTS

Graduated in Mathematics, Statistics, Physics, Engineers; Economists with a strong quantitative background; • Additional Industry certifications are also required: post graduate quantitative finance certifications; Masters in Quantitative Finance; actuarial science; CEMFI; CFA; FRM

Valuable proficiency in programming language such as: SAS, R, C++, VBA, MATLAB, Python.

Work experience in any of the following areas is valued:
• Development or validation of credit risk models such as scoring and rating models, PD, LGD, EL, EAD, Stress Test, provisioning (NIC 39/IFRS9) & Economic Capital;
• Implementing Basel II requirements and interaction with supervisors;
• Calculation of regulatory capital returns for IRB portfolios

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