Credit Risk Model Validator Basel II/SAS/STATA/Excel/Matlab

Noord-Holland  ‐ Onsite
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Description

Credit Risk Model Validator Basel II/SAS/STATA/Excel/Matlab/Visual Basic

We are currently recruiting for a Contract Credit Risk Model Validator to join our worldwide organisation for an initial 12 month period. Our large financial organisation based in Amsterdam are looking for someone who has previously worked in a finance role either in banking or in finance related positions, for a minimum of 2 years.

You will require the following experience:
*A quantitative background (at least at MSc level) with professional experience in quantitative finance
*Experience with modelling tools including STATA, Excel, Matlab, Visual Basic and SAS
*Good understanding of risk management practices within the financial services industry
*Sound knowledge of number of the areas of Risk that are in scope of Model Validation, (eg Market, ECAP, Operational Risk) and the related modelling and validation aspects; knowledge of modelling with a risk management perspective
*Good knowledge of Basel II and local regulatory requirements
*Must have had exposure to SAS coding

Project:
In the context of a regulatory inquiry the department produces large data sets that reflect the credit portfolios of the client. These data sets need analysis in order to build a point in time model and the data sets are very large. Analysis includes typically modelling-type of activities such as descriptive statistics, outlier analyses, missing values, etc. For these top priority activities, the candidate must be able to code in SAS (Basic). Another requirement is experience with Credit Data. For the next phase, the model building activities, knowledge of and experience with credit risk modelling as well as Matlab is preferred, but not necessary.

Immediate Start Role - Amsterdam Area - Contract Position - Apply Now For Immediate Consideration

Start date
ASAP
Duration
12 months
From
Levy Associates Ltd
Published at
17.04.2014
Project ID:
696761
Contract type
Freelance
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