Quantitative Risk Analyst for Internal Validation on Pillar II / ICAAP
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. Group Internal Validation is responsible for providing independent review and assurance relating to risk models used in the Group to ensure that minimum requirements set by regulators are met and that risks are effectively managed within the Company according to market best practices.
Within Group Internal Validation we are looking for a Quantitative Risk Analyst to expand the Pillar II Validation Team, responsible for validating the advanced risk methodologies to estimate the Group overall Economic Capital and for the assessment of capital adequacy within the Pillar II scope. Pillar II is attracting increasing attention by Supervisors and management, and it represents the new frontier for enterprise risk management in bank.
KEY JOB FUNCTIONS
- Technical review of models for operational, credit portfolio and other risks in the Pillar II scope (e.g. real estate, business, etc.), focusing on model design, inputs and outputs, internal use, model performance;
- Conduct fieldwork, including data analysis and other quantitative tests related to model risk;
- Document and maintain sufficient supporting information on the validation activity and facilitate the presentation of findings and conclusions in accordance with the department's reporting standards;
- Identify and discuss findings and conclusions with model developers in order to identify alternative viable modeling solutions, tracking and monitoring progress against previous validation recommendations;
- Draft of reports and other key deliverables for the top management;
- Develop and update validation methodologies, policies and internal standards and procedures
CANDIDATE PROFILE
The ideal candidate has a Master's Degree or equivalent education, preferably with a postgraduate Master or PhD in Finance, Economics, Math or other quantitative discipline.
Minimum experience in building, testing, and/or validating models is required. The candidate is familiar with statistical tools (e.g. R, Matlab, SAS). He/she has strong analytical skills, including the ability to analyze specific models including review of inputs, assumptions, methodologies and outputs, interpreting data and drawing conclusions.
The complex nature and the width of the methodologies to be analyzed require the candidate a strong team playing, working collaboratively with various team members to accomplish integrated solutions.
Considering the complexity of the UniCredit organization and the fast developing environment featuring the risk management in the Pillar II (especially in the validation field), the candidate should demonstrate ability to thrive in a frequently changing and unstructured environment, quickly and easily responding to change, considering new approaches and demonstrating comfort with unpredictable problems.
Fluent spoken and written English and communication skills, especially the ability to explain complex ideas in simple, non-technical language are required.
Knowledge of regulatory regulation (European Directives on Capital Adequacy) and Italian language skills are highly appreciated.
The position is based in Milan, Italy
Leave a Reply
You must be logged in to post a comment.