Our client, operating in the financial industry, is looking for a motivated Model Validation Lead to join their team:
Responsibilities
Utilize expertise in quantitative analysis to validate financial and risk models (e.g., IFRS 9, non-maturity deposit sub-models, and interest rate risk models).
Develop and implement challenger models to assess the accuracy and reliability of existing financial models.
Understand business requirements and define data extraction needs.
Conduct research and analysis to support financial modeling needs, ensuring alignment with the bank’s objectives.
Lead and mentor senior and junior team members, fostering professional growth.
Independently replicate and validate models, whether developed in-house or externally.
Perform back-testing and revalidation of financial models, including probability of default, exposure at default, and macroeconomic models.
Develop additional challenger models as needed.
Present complex findings in a clear and actionable manner to support senior management in decision-making.
Assist external auditors and regulatory bodies in reviewing models and validation processes.
Ensure all models and documentation align with regulatory requirements and expectations from the Joint Supervisory Team (JST), Malta Financial Services Authority (MFSA), Central Bank of Malta (CBM), and European Banking Authority (EBA).
Stay updated with industry best practices, including advanced risk modeling techniques and programming languages (R, SAS, etc.).
Requirements
Experience in Excel
Ability to work under pressure and independently.
Strong sense of responsibility and commitment to the role.
Hands-on, assertive, and confident in decision-making.
Education and Experience
Knowledge and experience in SQL, R, Python & Other Modeling Languages.
Experience in IFRS9, Economic Forecast, LGD, SICR Model Building.
At least seven (7) years in risk model development or validation within financial services, with expertise in data analysis, model assumptions, selection, and back-testing. A minimum of three (3) years must include leadership or project management experienc
A Master’s degree (MQF Level 7) in Mathematics, Econometrics, or Statistics.
