Market Risk and Model Validation Manager

Reporting directly to the Chief Risk Officer, the selected candidate will be acting as a market risk expert, and will be responsible for the development of market risk related models. The Market Risk and Model Validation Manager will make sure such models are in line with the Bank’s risk appetite and adhere to internal and external standards.

Malta * Full-time

Duties and responsibilities

  • Acting as a market risk expert, in particular for IRRBB
  • Leading the ongoing development of a clear framework in particular methodologies and policies to identify, monitor and quantify IRRBB on the bank’s balance sheet
  • Supporting the development of market risk related models including model design, calibration and validation; stress testing; backtesting; usage; reporting; and model governance
  • Supporting and providing market risk insight into capital planning, funding plans and funds transfer pricing
  • Owning the respective risk management policies relating to market risk and consolidate market risk reporting requirements, including additional sensitivity measures
  • Managing and maintaining the risk models inventory
    Maintain and execute risk model validation processes, including those related to credit risk models

Required knowledge, skills and experience

  • Relevant experience working in IRRBB risk, Treasury and/or market risk
  • Very strong knowledge of IRRBB measures (EVE and NII)
  • Very strong understanding of behaviouralisation such as prepayment modelling
  • Strong understanding of balance sheet modelling and projections
  • Up to date with current market and economic trends
  • Quantitative problem-solving skills
  • Hands-on experience in programming Python or R and using SQL

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