16 ott - Roma
Cassa di Compensazione e Garanzia
Join us as a Model Risk – Specialist Are you ready to shape the future of capital markets? We are looking for a Model Risk – Specialist to join the Model Risk LOD2 Team in Rome. This is a position offering an exciting opportunity to contribute to our mission. Ccnl credito Ral starting from 50.000€
Key accountabilities Independently validate the risk models designed by LoD1 used to measure market, credit risk and liquidity risk
Develop and maintain independent Python replications of margin and stress testing models, used to benchmark results and to run challenger analyses
Timely analyse significant changes to a model through a standardized approach and issue recommendations/suggest alternatives
Design and perform sensitivity analyses, backtesting, anti-procyclicality and stress testing analyses
Input data validation, implement process improvements to streamline data analysis and reporting
Liaise with Regulators for MV topics
Interact effectively with model designers and model developers, as well as with external consultants supporting validation activities
Present findings and recommendations to management and stakeholders, and draft independent validation reports to internal and supervisory standards
Knowledge, Skills and Experience Master's Degree in Quantitative Finance, Engineering, Mathematics, Statistics, Physics or equivalent
Strong knowledge of financial markets and instruments, pricing, risk indicators
5-7 years of work experience in the banking or financial services industry, including regulators or consultancy firms; experience with Clearing Houses is a plus
Solid grounding in market risk quantitative techniques (VaR and Expected Shortfall estimation and related backtesting tests)
Familiarity with the EMIR regulatory framework and ESMA technical standards is a plus
Proficiency in Microsoft Office package
Strong knowledge of programming languages (e.g. Python, SQL, Julia...), with the ability to build and document quantitative models from scratch in a profe
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