Credit Risk Internal Validation Analyst

hace 4 días


Boadilla del Monte, España Santander A tiempo completo

Credit Risk Internal Validation Analyst

Country: Spain

**WHAT YOU WILL BE DOING**

**RISKS **is looking for a **CREDIT RISK INTERNAL VALIDATION ANALYST **, based in our BOADILLA DEL MONTE (HEADQUARTERS) office.

**WHY YOU SHOULD CONSIDER THIS OPPORTUNITY**

**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.

**WHAT YOU WILL BE DOING**

As a **Credit Risk Internal Validation Analyst **, you will be part of the credit risk model validation team, which is responsible for the 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 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.

**WHAT WE ARE LOOKING FOR**

EXPERIENCE
- 4+ years working in a similar position.
- Strong quantitative background.
- Working in 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.

EDUCATION
- Graduated in Mathematics, Statistics, Physics, Engineering.
- Industry certifications.
- Desired
- Master in Quantitative Finance.
- FRM, CFA.

SKILLS & KNOWLEDGE
- Proficiency in one of the following: SAS, R, C++, VBA, MATLAB.
- Language skills - High level of English and Spanish.



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