Advisor Market Risk Model Validation
2 weeks ago
A career as an Advisor in Market Risk Model Validation at National Bank means participating in transformation which has direct impact on clients. You will participate in validating and establishing the acceptability of models, quantifying potential losses as well as model limits. In addition, you will contribute in the model risk governance and management.
You will assist managers in projects requiring validation and governance of models and will act as an expert in your field and advise stakeholders on the related principles.
Your Job
- Validate market risk models leading to analysis of risk measurement (VaR/sVaR) and profits and losses (P/L).
- Produce detailed validation reports and make recommendations and suggestions to managers regarding the applications and limitations of the models.
- Participate in the implementation and management of the dynamic model inventory.
- Develop model risk measurement and quantification tools to support team activities and the risk management sector.
- Establish potential model risks in accordance with specifications according to financial literature and theory.
- You will be involved in various large-scale projects and complex mandates with a significant impact on the Bank's profitability.
- You will make recommendations to ensure the efficiency of operations and the quality of information in terms of model risk management. To guide decisions of stakeholders, you will perform analyses and assess the risk.
Your Team
You will report to Leader Market Risk Model Validation and Governance of the Market Risk Model Validation team. It is a medium-size and dynamic team made up of expert employees with valuable experience. It’s a collaborative team that shares knowledge and supports each other. You will then benefit from this diversified and stable experience. The team reports to the Vice President - Capital Market and Treasury Risk Management of the large risk management family.
Prerequisites
- Completed master's degree, related to the sector of activity.
- Experience in risk management.
- Good knowledge of financial and derivative products.
- Knowledge of the Basel II Accord and up is an asset.
- Good skills in the quantitative field (numerical methods) and in programming (Matlab, Python, etc.).
French
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Advisor Market Risk Model Validation
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