Our client is looking for an Internal Model Auditor to join the Internal Model supervision team. He/she will be in charge of the review, validation and approval of internal models for banks.
The Internal Model Auditor will be responsible for :
- Carry out on-site inspections, possibly in collaboration with international teams and/or abroad
- Control banking activities
- Ensure approval of internal credit risk models
- Contribute to the monitoring of a large number of financial institutions to gain insight into industry practices,
- Contribute to the development of control policy notes,
- Contribute to the promotion of best practices.
- Participate actively in national or international working groups for the development of control policy and the promotion of best practices.
Take part in the discussions regarding the use of Machine learning techniques for capital reporting.
- Hold a Master’s degree in physics engineering, actuarial science, statistics or mathematics, or in Business engineering with a quantitative background.
- Have experience in financial modelling, a previous experience with Solvency II and/or Basel II/III is a strong asset
- Good programming skills, specifically in SAS, R and Matlab
- Excellent communication skills
- Strong sense of ethics and independent thinking
- Fluent in English, native in either French or Dutch with at least a passive understanding of the other national language.