Model Validation - Credit Risk (DRG) Porto

Job Overview

Within the Model Risk Management (MRM) department the Credit Risk & Non-Financial Model Validation teams are organized into four teams: Regulatory Credit Risk & Scoring Model Validation, IFRS9 and Credit Stress Test Model Validation, ALM Model Validation, and Compliance & Non-Financial Risk Model Validation. The Regulatory Credit Risk & Scoring Model Validation team is looking for a Quantitative Analyst to validate models for IRB credit model validation.

Responsibilities

• Evaluating the risk dimensions of models (including data, methodology, performance, monitoring, usage, and documentation);
• Preparing a validation report and presenting findings to the validation committee;
• Monitoring the implementation of recommendations designed to enhance the models;
• Conducting oversight of regulatory and methodological developments.

Qualifications

• Master-'s degree in a quantitative field.
• Prior experience, at least 3 years, in credit risk modeling or validation within the banking sector is necessary.
• Familiarity with the regulatory landscape and texts related to risks including (NDOD, Basel IV, EBA Guidelines, CRR/CRD, Collateral eligibility, ECB Guide to Internal Models);
• Understanding of modeling techniques (including statistics, economics, machine learning algorithms, etc. );
• Expertise in programming languages such as Python, SQL, and R;
• Expertise in Microsoft Office applications (Excel, Power
  Point, Word);
• Excellent writing skills and capacity for synthesizing complex information;
• Advanced written and spoken English and French as a plus.

Soft Skills

• Ability to work independently;
• Attention to detail;
• Proactive mindset;
• Excellent interpersonal communication;
• Competence in written communication.

We will only consider English Cv-'s.