Country: Spain
Position: Model Risk Audit Analyst
Location: BOADILLA DEL MONTE (HEADQUARTERS)
WHY YOU SHOULD CONSIDER THIS OPPORTUNITY At Santander, we are key players in transforming the financial sector.
Do you want to join our team?
Internal Audit is a permanent and independent function that aims to provide the Board of Directors and senior management with independent assurance on the quality and effectiveness of internal control processes and systems, management of current or emerging risks, and governance, thereby contributing to the protection of the organization's value, solvency, and reputation.
WHAT YOU WILL DO Within the Internal Audit Division, in the Financial Risks Area, you will participate in reviewing IRB models and regulatory capital calculation and COREP reporting for internal credit risk model capital requirements.
We need someone like you to help us in various areas:
Participate in audits of credit risk IRB model reviews (parameters, scorings, and ratings) by conducting independent tests to evaluate the methodological adequacy of the models in accordance with current regulations (methodological foundations and quality and integrity of the information used for their construction) and previously defined uses. Drive the automation of internal processes related to model review by creating standardized boxes and/or designing independent contrast metrics. Review the alignment of IRB models with the Group's internal regulations. Participate in audits of the Internal Validation Function by conducting independent tests to measure the adequacy of the scope of model validation work in accordance with current regulations and the Group's internal regulations. Review the correct calculation of regulatory capital in accordance with solvency regulations (CRR) as well as regulatory reporting in COREP. Strengthen the implementation and use of best practices in model review within Internal Audit. EXPERIENCE Desirable prior experience of at least 2-4 years in departments related to the development and validation of IRB models or measurement and reporting of regulatory capital, either in the financial sector, auditing, and/or consulting.
EDUCATION Degree in Mathematics, Physics, Statistics, Engineering, or ADE and Economics, with knowledge of programming and database management and solvency regulations.
SKILLS & KNOWLEDGE Knowledge in SQL, SAS, and/or R (mandatory). Valuable master's or postgraduate courses and specializations in modeling techniques, statistics, quantitative finance, econometrics, and risks. Postgraduate courses in auditing, finance, or quantitative fields, as well as certifications related to these areas will be valued. Desirable proficiency in management tools and database usage. Advanced English level B2 or higher (mandatory). If you want to know more about us, follow us on.
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