Consultant Expert - Model Validation

About the role

In this context, you will be responsible for conducting internal model reviews (validation of models, backtesting, etc.) that have been developed by the Group's modeling entities. lead/contribute on annual validation missions, based on the planning and framework Interact with the modeling entities. Analyze and test methods by using both technical knowledge and critical thinking.

What you'll do

• The ongoing monitoring of the model is a task that must be done in all phases of the model lifecycle (development, implementation, use)
• In order to track and measure the efficiency and adequacy of models, the model monitor conducts continuous analysis and controls as an early warning both initially at…
• Model estimates vs realized values (e.g. back-testing for some models)
• Stability of model outcomes
• Sensitivity analysis to test robustness

What you need

• IFRS
• Credit risk
• Reporting
• Statistics
• Risk management
• Operational risk

Good to have

• Machine learning
• SAS
• R
• Market risk
• CRM