Quantitative Risk Specialist

3 days ago

Dublin, Dublin City, Ireland beBeeValidator Full time €80,000 - €120,000
Job Overview

You will work in a Model Risk Management team as a Model Risk Manager and Validator for validating Market Risk and Counterparty Credit Risk models.

This role offers learning and growth opportunities from both a technical and leadership perspective. In particular, you will gain knowledge on all market risk and counterparty credit risk models and will be exposed to a variety of modelling approaches, extensive product knowledge among all asset classes, deep understanding of new regulatory requirements, risk management expertise and global market knowledge.

Key Responsibilities
  • Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • Represent the organization in interactions with regulatory agencies, as required.
  • Present model validation findings to senior management and supervisory authorities.
  • Provide effective challenge to model assumptions, mathematical formulation, and implementation.
  • Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Contribute to strategic, cross-functional initiatives within the model risk organisation.
  • Understand the significant conduct risks specific to your role and comply with the roles and responsibilities defined by our policies on conduct risk management.
Requirements
  • Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally in the area of market risk (e.g. familiarity with VaR/ES models, FRTB regulations) or Counterparty Credit Risk.
  • Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models and/or pricing models.
  • Sound knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk management, Basel/CCAR regulatory requirements. Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
  • Programming skills: Python, R, C/C++, Matlab, SQL
  • Master's degree in a quantitative field (physics, mathematics, statistics, finance, computer science, etc.) with relevant industry experience. Candidates with higher academic qualifications and/or certifications such as a PhD, a second Master's degree, or CFA may be considered if they have less industry experience.
What We Offer
  • A chance to develop in a highly innovative environment where you can use the newest technologies in a top-quality organizational culture.
  • Professional development in a truly global environment.
  • Inclusive and friendly corporate culture where gender diversity and equality is widely recognized.
  • A supportive workplace for professionals returning to the office from childcare leave.
  • An enjoyable and challenging learning path, which leads to a deep understanding of our products and services.

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