Credit Risk Model Validation Consultant – Python Migration
Duration: 8 months renewable | Start date: ASAP | Location: Paris | Daily rate: €600 max
We are looking for a consultant Validation of credit risk models on behalf of one of our banking clients as part of a project migration of computing modules (stress tests, budget, etc.) to a Python environment.
Context
The consultant will work within the Validation team to contribute to the methodological review of the models and the validation of their operational implementation.
Roles and responsibilities
- Participate in the validation of credit risk models (ECL, Credit VaR, stress testing, scenarios)
- Conduct methodological reviews and challenge modeling choices
- Analyze and test the model implementations in the Python environment
- Contribute to the validation of migrations from existing environments (particularly Matlab)
- Produce the validation documentation and associated reports
- Collaborating with the Risk, Quant and IT teams
Required Skills
- Minimum experience of 5 years in credit risk / model validation
- Good mastery of credit risk models ECL, Credit VaR (including Monte Carlo), and Stress Testing and Scenario Analysis
- Experience in model validation or independent review
- Good understanding of the challenges of operational implementation of the models
- Mastery of Python (development, code structuring, libraries)
- Knowledge of environments Matlab appreciated
- Advanced education (Master's degree in Data Science, Finance, Computer Science or equivalent)
- Good level of written English
Details
- Startup: ASAP
- Duration: approximately 8 months - until the end of December 26 (extendable)
- Location: Paris
- Freelance
- Full-time
If you are ready to take on this challenge within a major project, please send us your detailed CV highlighting your relevant experience in relation to this mission.
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