Model Validation

hace 1 mes

España Santander A tiempo completo

Model Validation - Pricing Data Analytics & Models Specialist
Country: Spain
Banco Santander is looking for a Model Validation - Pricing Data Analytics & Models Specialist, based in our Boadilla del Monte office.
WHY YOU SHOULD CONSIDER THIS OPPORTUNITY
At Santander, 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, and their 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 businesses 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
This is an exciting opportunity for a quantitatively oriented, creative, and hands-on individual. The validation team of market risk models that you will be part of is responsible for the independent validation of every new market risk model.
Models should be properly designed, tested, validated, and approved before they can be used to produce market risk metrics and analysis.
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.
As an internal validator of market risk models, you will perform independent reviews of Front Office models, including pricing models, models involved in the construction of market and model inputs, value adjustment models (VA), and sensitivity models.
We need someone like you to help us in different fronts:

Conduct critical and informed assessments of the models at hand: hypotheses and impact on the main valuation and sensitivity metrics.
Develop independent contrast models and design adequacy tests of the underlying theoretical hypotheses, with the aim of effectively challenging the bank's production models.
Engage with long-term, fluent relationships with the stakeholders of the Model Risk domain: Trading, Front Office Quants, Market Risk, Risk Methodology, etc.
Assess the implementation of the models in validation in the bank's production systems.
Communicate the results of the validation process to a number of stakeholders, both internal and external to the bank, in a clear and straightforward manner.
Produce excellent documentation reflecting the validation analyses and conclusions.

EXPERIENCE

Years of experience in quantitative modelling of market risk, pricing, or XVA models, as model validator, model developer, or similar roles.
Proven experience in a quantitative field with an advanced level of mathematics and modelling.

EDUCATION

Bachelor’s or master’s degree in mathematics, physics, or engineering.
A PhD or Master of Science in a quantitative field (Mathematics, Physics, Engineering, Quantitative Finance, Data Science, etc.) is a plus.

SKILLS & KNOWLEDGE

Strong background and experience in mathematics and modelling.
Experience in programming languages: VBA, Matlab, Python, C/C++, etc.
Knowledge or experience in quantitative market risk and pricing modelling with a solid understanding of their theoretical framework is a plus (derivatives, arbitrage pricing theory, etc.).
Familiarity with model risk management concepts is a plus.
Familiarity with version control systems (git or similar) is a plus.
Familiarity with the software system for typesetting documents (LaTeX) is a plus.
Advanced in English.
Great written and verbal communication skills dealing with highly technical subjects.


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