JOIN US AS A MODEL VALIDATION – SENIOR ASSOCIATE

Are you ready to shape the future of capital markets? We are looking for a Model
Validation – Senior Associate to join the Model Risk LOD2 Team in Rome. This is
a position offering an exciting opportunity to contribute to our mission.

RAL starting from 45.000€

CCNL credito

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

* 3-5 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

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