Model Validation Officer Temporary/Interim
European Stability Mechanism
Luxembourg
il y a 5j

KEY ACCOUNTABILITIES

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
  • KEY COMPETENCIES

  • Goodanalytical and conceptual skills
  • Excellentoral and written communication skills
  • Proactiveand team-oriented
  • Attentionto detail, with rigorous approach
  • Intellectualcuriosity
  • Well-structuredand organised with ability to prioritise competing tasks in a fast-paceddeadline-driven environment
  • PRACTICAL INFORMATION

  • 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.

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