Credit Risk Models Validation Senior / Junior Professional
Group Internal Validation (GIV) is the internal department in charge of the Validation of all Basel 2 Pillar I and Pillar II internal measurement systems at Group level.
Within GIV this role will support the execution of the internal rating systems validation and ensure the ongoing implementation of models and processes validation best practices, with focus on internal advanced credit risk models and processes.
The objective of the validation process is to provide assurance that the qualifying models and processes used in internal credit risk management are working as intended and in compliance with regulatory requirements and to provide recommendations for ongoing models and processes improvement to enhance risk management effectiveness.
Working in the GIV dept., at Unicredit Group Holding Company, essential responsibilities will be:
- Provide independent models and processes validation services through qualitative and quantitative assessment of Internal Rating Systems, in compliance with Group Internal Validation Guidelines, Basel II Regulation and market best practices.
- Perform advanced quantitative assessment of all aspects of models including model design and implementation, model performances and calibration, data integrity and reliability.
- Execute credit and rating processes validation with focus on governance, integrity, reliability and internal use, in consistency with internal and regulatory expectations.
- Carry out technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the bank's standards and policies.
- Collaborate with team and department peers/managers to produce validation final assessments and issue recommendations for models and processes improvement, participating in gap-closing projects and communicating findings to management.
- Create documentation and professional reports of validation results, contribute in writing and developing internal guidelines for validation processes, produce management-level notes/presentations and ad hoc reporting and analyses.
- Proactively interact with Regulators and Internal Audit acting as focal point for internal systems assessment, convincingly arguing validation point of view while keeping a realistic and pragmatic perspective.
- Liaise and maintain strong relationship with key functional stakeholders in credit risk management
- Driven by win-win mentality, influence stakeholders to adopt/comply with group standards/policies for model development, validation, monitoring and governance fostering the company risk culture.
- Keep pace with latest development in academia, regulatory environment and financial services industry in order to contribute to the continuous improvement of internal risk management and validation standards.
Your profile:
- High degree of numeracy and/or understanding of economics, as demonstrated by a degree in a relevant discipline (Statistics, Mathematics, Engineering, Economics)
- Previous experiences in dealing with internal rating systems with a strong understanding of the quantitative techniques used in developing and validating PD, LGD and EAD models
- Ability to leverage sophisticated economic risk analyses to conduct primary research, define trends, draw conclusions and present recommendations
- Flexibility in understanding complex subjects and processes, and attitude in under-pressure working
- Highly efficient working approach with a good level of autonomy and clear attitude for team working
- Strong numerical programming ability and hands-on expertise with one or more statistical packages (SAS, R, SPSS, Eviews)
- Mother tongue or fluency in Italian and in English
The position is based in Milan, Italy
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