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Model Validator Counter Party Credit Risk

Posted on: 15 November 2022

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Job intro


36 hours per week -

09-01-2023 till 30-06-2023 -

Possible extension: Likely


Organization


Rabobank Utrecht


Function


Job Title

Model Validator Counter Party Credit Risk


You and your job

Imagine… working in a diverse international team with highly educated professionals. As a Model Validator you can make a difference by validating models and providing input to improve the risk models within Rabobank. You can become an expert in analysing and critically challenging a variety of risk types. You will have the opportunity to learn techniques in assessing big data sets, effectively challenge quantitative models and check the implementation in production systems.


The CALM team (Model Validation Capital and ALM team) is part of the Model Validation department and consists of three clusters: the Market Risk and Counterparty Credit Risk cluster, the ALM cluster (interest rate risk and liquidity risk) and the Economic Capital & Operational Risk cluster.

Rabobank is hiring a validator for the Market Risk and Counterparty Credit Risk cluster within the CALM team for certain counterparty credit risk topics below:

• Treat all trades not covered by the IMM with any of the non-IMM methods in separate, synthetic netting sets (with split of collateral if any). The respective updated processes shall be documented.

Non-IMM trades:

• Trades that cannot be priced & simulated (i.e. CMM/Exotic trades – Inflation);

• Trades having too large FO vs QuIC MtM differences.

Non-IMM methods:

• SA-CCR, for derivatives

• CA (comprehensive approach) for SFTs

• Implement a documented process to timely identify and monitor significant pricing differences between FO and QuIC MtM. In addition, this process shall include appropriate measures that address the identified model weaknesses accordingly.

• Analyse price differences between FO and QuIC MtM on transaction level using thresholds based on the absolute price differences, differences as percentage of the notional amount and as a percentage of the absolute value of the FO MtM.

• Set up a process to analyse the root causes of the identified significant price differences. The respective adapted processes shall be documented.



Practical examples & responsibilities

You will be validating risk models that are used to manage the entire balance sheet of Rabobank and will be independently challenging the model through the entire model life cycle. Your top 3 responsibilities are:

• Validating counterparty credit risk SA for non-IMM trades

• Collaboration with stakeholders from other departments (e.g. modelling departments and other risk departments)


Facts & figures

• 36 to 40 hours per week

• 15-20 diverse colleagues within the CALM team with a variety of seniority

• 43,822 Rabobank colleagues around the world


Together we achieve more than alone

Collaboration is at the heart of everything we do. Our CALM team brings talented people together to validate our risk models. Our international team consists of diverse colleagues in a variety of roles, and with a variety of seniority.


, Model Validator CALM: ‘I love the diversity of my job! As a validator we get to see many different topics and we cooperate with many different people throughout the bank.’


, Model Validator CALM: ‘Throughout Model Validation we continuously search for opportunities to improve our way of working by investing in automation and adopting the newest best practices. We encourage colleagues to apply their innovations across departments.’

Rabobank is a financial services provider for 8.5 million customers. Rabobank’s mission is ‘Growing a better world together’ and we do so in countless ways, such as:

• We make sizeable annual investments in the voluntary sector in the Netherlands. This allows us to support about 1,250 sports and cultural organizations that are a second home to many people.

• We provide € 500 million in financing to the Dutch education sector annually because, after all, good education is the bedrock of tomorrow’s society.

• With the Rabobank Foundation, we support social enterprises. This enables people that experience barriers to enter the labour market to attain the opportunities they deserve, which helps them to participate fully in our society.


Requirements


You and your talent

Customer focus, collaboration, innovation, strong communication along with strong negotiation skills are essential for the role of Model Validator. In addition, it’s important that you recognise yourself in the checklist below:

• Quantitative academic education (MSc) in Econometrics, Mathematics, Physics or related quantitative field

• You have 1-5 years’ relevant experience in finance

• Good programming knowledge preferably in Python


Information

Sean Verhoef +31(0)20-3337629

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