Job Description
, IRRBB, CCAR, PRA).
· Maintain thorough records of validation processes, assumptions, and results for both internal and regulatory reviews.
Risk Management Collaboration:
· Work closely with the Treasury, Liquidity Risk, and Market Risk teams to understand the models role in risk management and the broader strategic impact.
· Provide support during internal and external audits related to model governance and validation.
Continuous Improvement:
· Stay informed on the latest regulatory developments, market trends, and validation techniques in Treasury and Liquidity Risk Management.
· Assist in refining the model risk management framework to improve the effectiveness of model validation processes.
Education:
· A Master's degree or higher in a quantitative discipline such as Financial Engineering, Mathematics, Statistics, Economics, or a related field.
· Certifications such as CFA, FRM, or PRM are a plus.
Experience:
· 3+ years of experience in model validation or model development within Treasury, Liquidity Risk, or Market Risk.
· Strong understanding of Treasury and Liquidity Risk models, including LCR, NSFR, interest rate risk, and liquidity gap analysis.
· Experience with model development, validation, or governance frameworks in a financial institution, preferably within a multinational investment bank.
Technical Skills:
· Proficiency in programming languages used for model validation, such as Python, R, or MATLAB.
· Advanced knowledge of Excel, including VBA.
· Familiarity with regulatory requirements related to Treasury and Liquidity Risk (e.g., Basel
