Model Validation Quant (80 – 100%) #188563

Job content

Your field of responsibility

Join us as a model validation quant in the Model Risk Management team, focusing on the validation of quantitative models in the areas of Credit Economic Risk Capital (ERC), Incremental Risk Charge (IRC), and Operational Risk.

You will be conducting independent validation reviews of business-impactful models, meeting business needs and regulatory expectations, with the responsibility for investigating key aspects of each model under review; i.e. e.g. the choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model.

This role involves continuous interaction and collaboration with stakeholders from a wide range of internal business areas. You will be exposed to a broad and diverse governance framework, which covers an end-to-end process of quantitative models. As part of your role you will also be responsible for creation of technical reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders.

Your future colleagues

You will work on models across all banking division within a global, dynamic, technically highly skilled and motivated team. The department values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values.

Your skills and experience

You offer

• A PhD or a master’s degree in a quantitative discipline with an advanced level of statistics
• Experience in financial and risk modelling
• Modelling knowledge of traded financial products, PD, LGD, EAD estimation, as well as Credit ERC, IRC, and/or Operational Risk modelling would be a plus
• Good knowledge and programming experience of statistical software applications is a must, such as R or Python.
• Ability to review, verify and challenge quantitative models for theoretical soundness, testing design and identification of model weaknesses and ensuring ongoing monitoring; plus being able to write a technical report consolidating the final observations
• Client focus and the ability to communicate effectively with senior stakeholders, including the ability to explain complex topics to a diverse range of audiences, which includes junior employees, senior management and internal and external stakeholders
• A general understanding of global regulatory requirements would be desirable
• Self-motivation, task focus, the ability to deliver high quality results to strict deadlines and to work within a global and diverse team while also being able to work independently
• Dedication to fostering an inclusive culture and value diverse perspectives
  

Mr M. Payer would be delighted to receive your application.

Please apply via our career portal.

Switzerland-Switzerland - Region Zurich-Zürich