Associate Risk Officer, Model Validation

Job Posting Organization:
The European Bank for Reconstruction and Development (EBRD) is an international financial institution established in 199

• Its mission is to promote the transition to open market-oriented economies and to foster private and entrepreneurial initiative in countries from Central Europe to Central Asia. The EBRD operates in over 30 countries and employs approximately 2,000 staff members. The organization is known for its commitment to sustainability, equality, and digital transformation, and it values diversity as one of its core principles, ensuring that its workforce reflects a wide range of nationalities, cultures, and opinions.

Job Overview:
The Associate Risk Officer, Model Validation, plays a crucial role in supporting the Associate Director of Model Validation by reviewing, challenging, and validating quantitative models that are essential for Treasury, Risk Management, and Controllers activities. This includes the recording of Treasury trades, valuation of collateral, measurement of market and credit risk, and assessment of economic capital utilization. The position is integral to ensuring that the Bank adheres to industry best practices in documenting, testing, and validating quantitative models, ensuring that the techniques employed are in line with applicable market standards. The Model Validation function is part of the Risk Policy & Analytics unit within the Risk Management department, responsible for validating both internally developed and externally sourced quantitative models used for financial reporting and key risk metrics calculation. A strong model validation function is vital for the assurance process that supports financial reporting and mitigates model risk, covering areas such as market data construction, risk measurement, and asset valuation.

Duties and Responsibilities:
The Associate Risk Officer will be responsible for conducting annual reviews of models used by the Bank, ensuring compliance with market practices and adequacy in light of evolving market conditions. This includes identifying gaps, suggesting improvements, and formulating prioritized action plans. The officer will also review market data inputs into models, assist in establishing documentation and testing standards for quantitative models, and conduct full model validations. This involves developing alternative modeling tools, benchmarking results, conducting code reviews, and ensuring comprehensive documentation. Additionally, the officer will review new pricing codes, maintain a network of industry contacts, and collaborate with various teams to ensure that validation deadlines are met. The role requires maintaining and enhancing the team's model inventory to ensure it is accurate and up to date.

Required Qualifications:
Candidates must possess a PhD or Master's degree in finance, mathematics, or a related scientific field. Relevant experience in capital markets, particularly in model risk/validation or in developing/testing pricing models and market risk measurements, is essential. Strong analytical skills are required, along with the ability to communicate complex quantitative concepts clearly. Familiarity with options pricing theory, stochastic processes, Monte Carlo simulation, and value-at-risk/stress testing is necessary. A good understanding of major capital market instruments, especially derivatives, is also required. Proficiency in programming languages such as C++, Python, Matlab, R, Quic, Summit, or NumeriX is a plus.

Educational Background:
The educational background required for this position includes a PhD or Master's degree in finance, mathematics, or a related scientific discipline. This advanced education is crucial for understanding the complex quantitative models and financial instruments that the Associate Risk Officer will be working with.

Experience:
The position requires relevant experience in capital markets, particularly with leading financial institutions. Candidates should have a background in model risk/validation or experience in developing or testing pricing models and market risk measurements. This experience is vital for effectively conducting model validations and ensuring compliance with industry standards.

Languages:
Proficiency in English is mandatory, particularly in drafting and explaining complex quantitative concepts. Additional language skills may be beneficial but are not explicitly required for this position.

Additional Notes:
The position is a regular contract with no specified length, indicating a permanent role. The EBRD promotes a flexible working environment, expecting employees to work in the office 50% of the time. The organization encourages applications from all qualified candidates, particularly those from EBRD member countries, and emphasizes its commitment to diversity and inclusion in the workplace.