Inventories, model rating and recommendations
Maintainthe database of models in liaison with the business units
Identifynew models within the institution
Performrisk rating of the models to identify models with potential financial impact onthe ESM
Followup of the recommendations from the relevant stakeholders (i.e. following amodel review)
Model validation reviews
Assessthe documentation provided by the business unit in line with business practices
Understandand analyse the quantitative models to be approved
Performbacktesting of the outputs of the models
Writemodel validation reports including recommendations on potential improvements
Workcollaboratively with several ESM divisions, such as Investment, Funding, Assetand Liability Management, and Middle and Back Office, for model-related matters.
KEY BACKGROUND & EXPERIENCE
Advanceduniversity degree in a relevant field such as statistics, quantitative financeor economics
Atleast 2 years of relevant professional experience in risk management or audit.A first experience in model risk is a strong asset.
Experiencein backtesting : quantitative and statistical techniques required
AdvancedExcel skills. Mastery of VBA is an asset
Fluencyin English, both oral and written
Goodanalytical and conceptual skills
Excellentoral and written communication skills
Attentionto detail, with rigorous approach
Well-structuredand organised with ability to prioritise competing tasks in a fast-paceddeadline-driven environment
Contractduration : 6 to 12 months
Expectedstart date of the assignment : as soon as possible
Terms of this non-ESM staff contractwill be discussed directly with the candidate.
The ESM aims to provide equalopportunity to all candidates irrespective of their gender, nationality, age,race, culture, education, religious beliefs, sexual orientation or disability.
To further enhance the diversity of our workforce, we particularly encouragewomen to apply.