Python Job: Model Validation Quantitative Analyst – CRO Model

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Job Skills

Company

Julius Baer

Location

Zürich - Switzerland

Job type

Full-Time

Python Job Details

At Julius Baer, we celebrate and value the individual qualities you bring, enabling you to be impactful, to be entrepreneurial, to be empowered, and to create value beyond wealth. Let’s shape the future of wealth management together.

As a member of the ‘Model Governance and Validation team’, you will perform independent technical validations on non-financial (e.g. Compliance, Machine Learning/Artificial Intelligence) as well as financial (e.g. Stress Testing, Liquidity/ALM, Credit, Market, Investment/ESG) models, enforcing model governance and validation standards, managing and reporting model risk to senior management.

The function ‘Model Governance and Validation’ is part of the Risk Governance & Assessment department – whose Head reports directly to the Chief Risk Officer, a member of the Executive Board.

YOUR CHALLENGE

  • Perform independent validation of models through statistical techniques, development of benchmark models and data analysis, in accordance with a multi-annual review plan. This includes:

    • testing of the model’s assumptions (including expert-based judgements), conceptual soundness, implementation, appropriateness of input data, model parameters, and their calibration accuracy

    • performance of model risk rating assessments

    • identification and evaluation of model limitations, and assessment of overall model risk in new and existing models

    • production and delivery of model validation reports in high standards to evidence a sound challenge and risk-oriented validation findings

  • Track and verify model risk mitigation activities and ensure adequate oversight over models through their lifecycle

  • Maintain and further develop the model governance framework and model risk management processes

  • Monitor model performance indicators along standardized risk metrics

  • Build strong relationships and interact with model owners, users, subject matter experts and Risk Management functions both at headquarter in Zurich and in foreign locations

YOUR PROFILE

  • Higher university degree in a quantitative area (Mathematics, Statistics, Economics, Physics, Engineering, Quantitative Finance), Master or PhD level, FRM or PRM is an advantage

  • Strong industry experience in Model Risk Management and Model Validation, with a minimum of 4-6 years within the management consulting or financial service industry

  • Profound knowledge and hands-on experience in validating non-financial models (e.g. Compliance, Machine Learning/Artificial Intelligence), and/or financial models (e.g. Liquidity/ALM, Stress Testing/IRRBB, Market, Credit Risk, Investment/ESG)

  • Expertise in data assembling and analysis, computational statistics, anomaly detection or machine learning including relevant programming skills

  • Excellent technology skills, with the ability to understand certain programming (e.g. R, Python, VBA, SQL, C++) and program flows as well as databases and architectural design.

  • Encouraged to demonstrate autonomous work style in planning and partner engagement, defining validation scope, designing independent technical tests, clearing and reporting of validation outcome

  • Results-oriented individual with outstanding interpersonal skills, written and verbal communication skills, proficiency in English and German

  • Focused on clients and can communicate impactfully with business partners, and explain technical and complex themes to a diverse range of audiences

HR contact: Anna Janssen

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