Risk Modelling Expert

Job Summary:

We are seeking a skilled and analytical Risk Modelling Validation and Developer to join our Risk Management team. The ideal candidate will be responsible for developing, validating, and enhancing risk models used across the bank, including credit, market, operational, and liquidity risk models. This role plays a critical part in ensuring that the bank's risk models are robust, compliant with regulatory standards, and aligned with internal risk appetite.

Key Responsibilities:

• Design, build, and maintain quantitative risk models (e.g., PD, LGD, EAD, VAR, ICAAP, IFRS 9, stress testing).
• Collaborate with business units, finance, and IT to ensure data quality, availability, and model implementation.
• Perform independent model validation and challenge of models developed by other teams.
• Assess model inputs, assumptions, calibration, performance, and limitations.
• Document model validation outcomes and communicate findings to senior stakeholders.
• Ensure all models meet internal governance frameworks and regulatory requirements (e.g., Basel III/IV, PRA, ECB, EBA).

Qualifications:

• Bachelor's or Master's degree in Quantitative Finance, Mathematics, Statistics, Computer Science, Engineering, or related field.
• PhD is a plus.
• 3+ years in a quantitative modelling, model validation, or risk analytics role within banking or financial services.
• Experience with regulatory models (IRB, IFRS 9, stress testing, etc.) and economic capital models.
• Proficiency in programming languages such as Python, R, SAS, or MATLAB.
• Strong knowledge of SQL and data manipulation.
• Familiarity with model risk management frameworks and validation tools.

Salary Package:

• Up to €100,000
• Annual Bonus
• Pension Plan
• Flexible Hybrid Working