model validation officer (m/f) in Luxembourg Centre

publié
contact
Clotilde CRAUWELS, Randstad Luxembourg, Randstad Luxembourg
mission d'intérim
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job details

publié
lieu
luxembourg centre, centre
secteur
Finance ​&​ Assurance
type d'emploi
mission d'intérim
référence
21433
contact
Clotilde CRAUWELS, Randstad Luxembourg, Randstad Luxembourg

description du poste

For one of our clients, a European Institution located in Kirchberg, we are looking for a:

                                                             Model Validation Officer (m/f)

DESCRIPTION
We are looking for a Model Validation Officer to provide temporary support to our client’s Model Validation Team, which is responsible for the review and validation of the models in order to:
• Value exposures, instruments, and positions on the Institution’s balance and off-balance sheet
• Support business decisions, especially related to Funding
• Assess performance of investment strategies
• Measure market, counterparty, and structural risks resulting from the Institution’s activities
The selected person will report to the Senior Risk Manager in charge of the Model Validation area.


KEY ACCOUNTABILITIES
Inventories, model rating and recommendations
• Maintain the database of models in liaison with the business units
• Identify new models within the institution
• Perform risk rating of the models to identify models with potential financial impact
• Follow up of the recommendations from the relevant stakeholders (i.e. following a model review)
Model validation reviews
• Assess the documentation provided by the business unit in line with business practices
• Understand and analyse the quantitative models to be approved
• Perform backtesting of the outputs of the models
• Write model validation reports including recommendations on potential improvements
• Work collaboratively with several divisions, such as Investment, Funding, Asset and Liability Management, and Middle and Back Office, for model-related matters.


KEY BACKGROUND & EXPERIENCE
• Advanced university degree in a relevant field such as statistics, quantitative finance or economics
• At least 2 years of relevant professional experience in risk management or audit. A first experience in model risk is a strong asset.
• Experience in backtesting: quantitative and statistical techniques required
• Advanced Excel skills. Mastery of VBA is an asset
• Fluency in English, both oral and written


KEY COMPETENCIES
• Good analytical and conceptual skills
• Excellent oral and written communication skills
• Proactive and team-oriented
• Attention to detail, with rigorous approach
• Intellectual curiosity
• Well-structured and organised with ability to prioritise competing tasks in a fast-paced deadline-driven environment


PRACTICAL INFORMATION
• Contract duration: 6 to 12 months
• Expected start date of the assignment: as soon as possible