Responsabilities:

Perform the model validation as per the validation guidelines and the regulation requirements, with a focus on market risk and ALM models.

Effectively and independently challenge the decisions made during development, follow-up and use of models focusing in particular on:

-    the model compliance with Group standards and banking regulations,

-    the quality of model documentation, associated risks, scope, uses and impact assessment,

-    the justification of assumptions and methodological choices, stability and robustness of estimation methods or parameters calibration,

-    the data quality used for modeling,

-    the implementation tests results in the systems,

-    the comparison, where possible, with best practices.

Write a validation report presenting the analyses of the model, the tests, the results, the identification and quantification of model risks, and an independent opinion on the model including recommendations actions to mitigate model weaknesses.

Archive validation materials (data, spreadsheets, computer code) to ensure auditability by internal and external audit teams.

Organize the discussions with model owners, developers and users throughout the validation process and communicate the conclusions within internal governance framework.

 Master of Science (MsC) applied to finance/engineer or related field

3/5 years of experience on modelling or model validation, at least partially for market operations.

Essential

• Mathematical finance and statistics.

• Programming skills (Python, VBA)

• Good communication skills oral and written with capacity to adapt the message to the interlocutor level (modeling expert, users, managers, and auditors)

• Knowledge of banking regulations and standards on model validation and model risk management

• Rigor, reliability, capacity to synthetize, and pedagogy

Desirable

• French would be a plus