Model Validation Analyst
CEP Independent Risk Management, headquartered in Dublin, acts as the second line of defence for the holistic management of risk across all business lines and locations of CEP.
We are looking for a model risk analyst and validator for validating risk models across a variety of risks with specific responsibility to validate and manage the model risk for Market Risk and Counterparty Credit Risk models. The successful candidate will be responsible for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements.
* Assist with managing model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
* Provide guidance to junior validators as and when necessary.
* Manage stakeholder interaction with model developers and business owners during the model lifecycle.
* Provide effective challenge to model assumptions, mathematical formulation, and implementation.
* Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
* Contribute to strategic, cross-functional initiatives within the model risk organisation.
Experience and Skills
* Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modelling of Counterparty Credit Risk and Market Risk.
* Good knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk management, Basel/CCAR regulatory requirements and model development and validation techniques for risk models.
* Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
* Strong communication and influencing skills are required as the work involves frequent interaction with model developers, risk managers, other stakeholders as well as internal/external audit and regulators.
* Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
* Excellent computer skills including programming skills: C/C++, Python, Matlab, SAS, R, Java, Oracle and SQL.
* Minimum of Master degree in a quantitative field (physics, mathematics, statistics, finance, computer science, etc.)
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