Expert - Model Validation (f/m/d)

Your area of work

Model Validation provides independent effective challenge of models, applying financial theory and quantitative methods. The main task is to assign model risk according to validation guidelines, as well as develop appropriate validation methods, employ validation instruments on a regular basis and perform ad-hoc model reviews in light of a changing regulatory environment and market conditions. Your primary role is to drive and participate in the validation of risk models in scope of the regulatory requirements such as ICAAP risk models and liquidity risk models. Working on these tasks include the collaboration with model developers, the IT department, and other internal and external stakeholders.

Your Responsibilities

• Development and continuous maintenance of validation concepts as well as appropriate quantitative and qualitative methods for the Clearstream ICAAP and ILAAP framework including stress test scenarios and all reported risk measures
• Carry out initial, regular, and ad-hoc validations of ICAAP and ILAAP risk models including the stress testing framework implemented within Clearstream entities
• Engage with model owners as well as business and development experts to ensure the risk positions are effectively challenged and model risk is properly addressed
• Deliver model validation analysis and reports in support of senior management and committee review
• Review and update guidelines and documentation, ensuring compliance with relevant internal policies, standards, and regulatory requirements

Your Profile

• M.Sc. or PhD in in a quantitative or economic discipline
• At least 5 years of relevant work experience, preferably in ICAAP or ILAAP risk model development or model validation. Sound knowledge of credit rating and haircut models would be an asset. 

• Strong knowledge of the relevant regulatory landscape (CSDR, MaRisk, ECB guide to ICAAP and ILAAP) and its application to risk modelling
• Well-developed analytical skills, sound knowledge of statistical and econometric methods  
• Very good programming skills (e.g. Python, R), experienced with databases (e.g. SQL)
• Efficient team player with a high degree of organizational self-reliance as well as high results orientation and good communication skills
• Strong critical thinking skills and demonstrated ability to produce clear, concise written reports
• Proficiency in written and spoken English, German or French language skills would be an asset