Model Risk Experts

Job title:

Model Risk Experts

Company:

Cypher Consulting Europe

Job description

Join our team of Model Risk Stewards, where you’ll be part of Independent Model Review (IMR), a specialized quantitative group dedicated to validating models. Regardless of your experience level in quantitative model validation, from entry-level graduates to seasoned professionals, we encourage you to apply as we have roles suited to various levels.Tasks

• Perform independent model validations as part of a specialist quantitative team called Independent Model Review.
• Conduct quantitative and qualitative research with focus on model data, design, performance, and implementation for one of our functional streams. We cover various types of models including credit risk models (e.g., IRB, IFRS9, Stress Testing, Economic Capital, application and behavioural scorecards), climate risk models, as well as market risk models (e.g., VaR, IRC, RNIV, Exposure at Default, CCR RWA, pricing models, algorithmic trading models, ALCM models, Valuation models).
• Assess quantitative or expert-based models to identify their assumptions and limitations. Formulate opinions about conceptual soundness of models’ design and their adequacy for intended usage. This includes quantification of model risk drivers and assessment of their impact on the

Requirements

• Academic degree (MSc or PhD) — good fits are: Statistics, Mathematics, Physics, Econometrics, Quantitative Finance, or related fields.
• Programming skills — knowledge of one of the following: R, Python, SAS, Matlab, C++, or SQL.
• Good written and verbal communication skills in English.
• Experience in independent model validation, model building and/or quantitative research (for the more senior roles).
• Professional qualifications (e.g., PRM, FRM, CQF) are beneficial.

Cypher Consulting EuropeCypher Consulting Europe takes pride in its ability to deliver expert consultants across a wide spectrum of technologies and industry sectors.

Expected salary

Location

Kraków, małopolskie

Job date

Fri, 14 Jun 2024 22:54:46 GMT

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