Join us as a Model Validation – Senior Associate!

Are you ready to shape the future of capital markets? We are looking for a Model Validation – Senior Associate to join the Model Risk LOD2 Team in Rome. This is a position offering an exciting opportunity to contribute to our mission.

Key accountabilities:

• Independently validate the risk models designed by LoD1 used to measure market, credit risk and liquidity risk

• Develop and maintain independent Python replications of margin and stress testing models, used to benchmark results and to run challenger analyses

• Timely analyse significant changes to a model through a standardized approach and issue recommendations/suggest alternatives

• Design and perform sensitivity analyses, backtesting, anti-procyclicality and stress testing analyses

• Input data validation, implement process improvements to streamline data analysis and reporting

• Liaise with Regulators for MV topics

• Interact effectively with model designers and model developers, as well as with external consultants supporting validation activities

• Present findings and recommendations to management and stakeholders, and draft independent validation reports to internal and supervisory standards

Knowledge, Skills and Experience:

• Master's Degree in Quantitative Finance, Engineering, Mathematics, Statistics, Physics or equivalent

• Strong knowledge of financial markets and instruments, pricing, risk indicators

• 3-5 years of work experience in the banking or financial services industry, including regulators or consultancy firms; experience with Clearing Houses is a plus

• Solid grounding in market risk quantitative techniques (VaR and Expected Shortfall estimation and related backtesting tests)

• Familiarity with the EMIR regulatory framework and ESMA technical standards is a plus

• Proficiency in Microsoft Office package

• Strong knowledge of programming languages (e.g. Python, SQL, Julia…), with the ability to build and document quantitative models from scratch in a professional development environment (e.g. PyCharm)

• Strong analytical skills, critical thinking and problem-solving attitude

• Fluency in both spoken and written English, including technical report writing

• Strong attitude to teamwork and ability to work well under pressure

• Excellent communication skills and outcome oriented

• Knowledge of info providers (Bloomberg, Reuters)

• CFA and/or FRM certification preferred