Senior Data Scientist Model Validation

A senior data scientist in the Risk Management Models team validates credit risk models, ensuring robustness, reliability and regulatory compliance of the models used for regulatory capital, ICAAP, IFRS9 and stress testing exercises.

Responsibilities

• Assess the conceptual soundness of credit risk models, including mathematical formulation, statistical rigour, assumptions, limitations and alignment with regulatory requirements and internal standards.
• Analyze the quality, relevance and integrity of the data used in the models, including key assumptions, exclusions, outliers and documentation quality.
• Test the performance and accuracy of models using robustness and stability analyses, sensitivity tests, benchmarks and impact analyses.
• Identify model uncertainties and limitations, assess the overall level of model risk and ensure that issues are understood, documented and adequately escalated within the governance framework.
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