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As Model Validator you are responsible for the review of models based on current regulation, replicating model outcomes, challenging model assumption and report the validation findings in a clear and concisely way. You will present your opinion to model owners and senior management and work closely together with the different modelling departments within the Rabobank. You will promote effective model development, use and validation practices and work on automated solutions for routine validations. The models we validate in the Capital and ALM (CALM) team are used for measuring and managing risk through limits and controls, for calculating regulatory and economic capital or for stress testing.
Risk types include Interest Rate Risk (Equity-at-Risk, Income-at-Risk, Behavioral models), Market Risk (VaR-type, Stressed VaR, IRC, CVA), Operational Risk (AMA), Stress Testing (ILAAP, ICAAP, EBA) and Economic capital models and RAROC
Within Rabobank Risk Management, the Model Validation department is responsible for the verification that models are performing as expected, in line with their design objectives and business uses.
The Model Validation department consists of teams for Credit, Capital and ALM, Pricing and Model Governance. The teams work together closely. Currently the Capital and ALM team is formed by six highly educated validators. Important stakeholders are DNB, ECB and other regulators, the Model Governance Committee and all modelling departments within Rabobank.
Are you interested in this position? Please apply by using the button “apply here” below and send your motivation letter and detailed CV in English to Jindra Vink (Recruiter).
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