MODEL VALIDATION - PRICING DATA ANALYTICS & MODELS SPECIALIST

As an internal validator of market risk models, you will perform independent reviews of Front Office models, including pricing models, models involved in the construction of market and model inputs, value adjustment models (VA) and sensitivity models.
itulacionesEngineering (Master Degree) - 5 yearsMathematics (Master Degree) - 5 yearsMasters of Science (MS)IdiomasSpanish Model Validation - Pricing Data Analytics & Models SpecialistCountry.
SpainBanco Santander is looking for a Model Validation - Pricing Data Analytics & Models Specialist, based in our Boadilla del Monte office.
HY YOU SHOULD CONSIDER THIS OPPORTUNITYAt Santander (www.
antander.
om) we are key players in the transformation of the financial sector.
Do you want to join us?Credit Risk, Interest Rate Risk, liquidity risk, operational risk, reputational risk… There are many types of risks, that's why it analysis and quantification is key for our purpose of being a Simple, Personal and Fair bank.
orking on risks means doing it from a management perspective that contributes to the sustainable progress of people and companies.
antander is proud of being an organization where there are equal opportunities regardless of gender identity, culture and disability.
Our mission is to contribute to help more people and business prosper.
We embrace a strong risk culture and all of our professionals at all levels are expected to take a proactive and responsible approach toward risk management.
HAT YOU WILL BE DOINGThis is an exciting opportunity for a quantitative oriented, creative and hands-on individual.
The validation team of market risk models that you will be part of is responsible for the independent validation of every new market risk model.
Models should be properly designed, tested, validated and approved before they can be used to produce market risk metrics and analysis.
Besides, every existing model being used has to be periodically monitored, calibrated and, if necessary, modified or replaced, once it has been properly validated and approved.
s an internal validator of market risk models, you will perform independent reviews of Front Office models, including pricing models, models involved in the construction of market and model inputs, value adjustment models (VA) and sensitivity models.
e need someone like you to help us in different fronts.
onduct critical and informed assessments of the models at hand.
Hypotheses and impact on the main valuation and sensitivity metrics.
evelop independent contrast models and design adequacy tests of the underlying theoretical hypotheses, with the aim of effectively challenging the bank's production models.
ngage with long-term, fluent relationships with the stakeholders of the Model Risk domain.
Trading, Front Office Quants, Market Risk, Risk Methodology, etc.
ssess the implementation of the models in validation in the bank's production systems.
ommunicate the results of the validation process to a number of stakeholders, both internal and external to the bank, in a clear and straightforward manner.
roduce excellent documentation reflecting the validation analyses and conclusions.
XPERIENCE3-5 years of experience in quantitative modelling of market risk, pricing or XVA models, as model validator, model developer or similar rolesorProven experience in a quantitative field with advanced level of mathematics and modelling.
DUCATIONBachelor’s or master’s degree in mathematics, Physics or Engineering.
PhD or Master of Science in a quantitative field (Mathematics, Physics, Engineering, Quantitative Finance, Data Science, etc.) is a plus.
KILLS & KNOWLEDGEStrong background and experience in mathematics and modelling.
xperience in programming language.
VBA, Matlab, Python, C/C&#;, etc.
nowledge or experience in quantitative market risk and pricing modelling with a solid understanding of their theoretical framework is a plus (derivatives, arbitrage pricing theory, etc.).
amiliarity with model risk management concepts is a plus.
amiliarity with version control systems (git or similar) is a plus.
amiliarity with the software system for typesetting documents LaTeX is a plus.
dvanced in English.
reat written and verbal communication skills dealing with highly technical subjects.
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