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Risk Management Group, Basel II Validation Department.
Location: Paris. Job description: The new Basel II capital accord encourages banks to use internal risk measurements for the regulatory capital calculations.
My client will apply the advanced internal ratings based approach; which means that the credit risk parameters probability of default, loss given default and credit conversion factor...will be determined internally. The person will work in the Basel II validation team with the purpose of realizing Data & Programming validations. He or she will co-operate with other members of the validation team covering more methodological validations or operational validations. He or she will be in frequent contact with both different development teams of the Group and the operational entities in order to have a clear view on the operational implementation of (mainly) Basel II models. He or she will from time to time present the results of the operational validation to end-users and internal/external reviewers. The person will have an audit-profile and a knowledge of statistics. Profile: At least 5 years of experience in a similar function (audit, data quality, validation,...).
Experience in audit (experience in auditing Basel II models or experience in IT audits is an asset),
Experience in risk management (especially credit risk management and Basel II) is an asset,
A good knowledge of statistics is an asset,
A knowledge of SAS or Matlab is an asset,
good communication skills,
background in finance is an asset,
a balanced critical mindset,
good knowledge of English and either Dutch or French.
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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