Model Validation Officer - Liquidity Risk Models (f/m/d)

Date: 12-Sep-2021

Location: Luxembourg, LU Frankfurt am Main, DE

Company: Deutsche Börse Group

Field of activity

Model Validation provides independent effective challenge of models, applying financial theory and quantitative methods. The main task is to assign model risk according to validation guidelines, as well as develop appropriate validation methods, employ validation instruments on a regular basis and perform ad-hoc model reviews in light of a changing regulatory environment and market conditions. Your primary role is to drive and participate in the validation of liquidity risk models and to support on reviewing credit risk models in scope of the regulatory requirements. Working on these tasks include the collaboration with model developers, the IT department, and other internal and external stakeholders.
 
Tasks/responsibilities

  • Development and continuous maintenance of validation concepts as well as appropriate quantitative and qualitative methods for the Clearstream ILAAP framework including all reported liquidity measures 
  • Carry out initial, regular, and ad-hoc validations of liquidity risk models relevant for Clearstream entities
  • Engage with model owners as well as business and development experts to ensure the liquidity positions are effectively challenged and model risk is properly addressed 
  • Support on the validations of internal credit rating models as well as the portfolio credit risk models
  • Deliver model validation analysis and reports in support of senior management and committee review 
  • Review and update guidelines and documentation, ensuring compliance with relevant internal policies, standards, and regulatory requirements

 
Qualifications/required skills

  • M.Sc. or PhD in Mathematics, Statistics or another quantitative discipline
  • At least 5 years of relevant work experience, preferably in liquidity risk model development or model validation. Sound knowledge of treasury business, credit risk and credit rating models would be an asset.  
  • Strong knowledge of the relevant regulatory landscape (CSDR, CSSF, MaRisk, ECB guide to ILAAP) and its application to liquidity risk modelling, especially with respect to Liquidity Stress Testing
  • Well-developed analytical skills, sound knowledge of statistical and econometric methods  
  • Very good programming skills (e.g. Python, R, C++, Java), experienced with databases (e.g. SQL) 
  • Efficient team player with a high degree of organizational self-reliance as well as high results orientation and good communication skills
  • Strong critical thinking skills and demonstrated ability to produce clear, concise written reports
  • Proficiency in written and spoken English, German or French language skills would be an asset