Over deze vacature
## Model Validator Counterparty Credit Risk
For the Model Validation Capital and ALM team of a bank I am recruiting for a Model Validator Counterparty Credit Risk (CCR) Onsite.
For the Model Validation Capital and ALM team of a bank I am recruiting for a Model Validator Counterparty Credit Risk (CCR) Onsite.
The CALM team (Model Validation Capital and ALM team) is part of the Model Validation department and consists of three clusters: the Market Risk and Counterparty Credit Risk cluster, the ALM cluster (interest rate risk and liquidity risk) and the Economic Capital & Operational Risk cluster.
The bank is hiring a validator for the Market Risk and Counterparty Credit Risk cluster within the CALM team for the following counterparty credit risk topics:
- Treat all trades not covered by the IMM with any of the non-IMM methods in separate, synthetic netting sets (with split of collateral if any). The respective updated processes shall be documented;
- Trades that cannot be priced & simulated (i.e. CMM/Exotic trades – Inflation);
- Trades having too large FO vs QuIC MtM differences;
- CA (comprehensive approach) for SFTs;
- Implement a documented process to timely identify and monitor significant pricing differences between FO and QuIC MtM. In addition, this process shall include appropriate measures that address the identified model weaknesses accordingly;
- Analyse price differences between FO and QuIC MtM on transaction level using thresholds based on the absolute price differences, differences as percentage of the notional amount and as a percentage of the absolute value of the FO MtM;
- Set up a process to analyse the root causes of the identified significant price differences. The respective adapted processes shall be documented.
You will be validating risk models that are used to manage the entire balance sheet of the bank and will be independently challenging the model through the entire model life cycle. Your top responsibilities are:
- Validating counterparty credit risk SA for non-IMM trades;
- Collaboration with stakeholders from other departments (e.g. modelling departments and other risk departments).
#### [Hourly rate € to be discussed](https://baselrecruitment.nl/vacancies/model-validator-counterparty-credit-risk/)