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. Would you like to join our team? The Internal Audit function 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, risk management (current or emerging), and governance, thus contributing to the protection of the organization's value, solvency, and reputation.
Your Responsibilities
Within the Internal Audit Division, in the Financial Risks Area, you will participate in the review of IRB models and regulatory capital calculation and COREP reporting of capital requirements for internal credit risk models. We need someone like you to help us in various areas:
1. Participate in audits reviewing IRB credit risk models (parameters, scoring, and ratings), through independent testing 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 the previously defined uses.
2. Drive the automation of internal processes related to model review, through the creation of standardized boxes and/or design of independent contrast metrics.
3. Review the degree of alignment of IRB models with the Group's internal regulations.
4. Participate in audits of the Internal Validation Function, through independent testing to measure the adequacy of the scope of model validation work in accordance with current regulations and the Group's internal regulations.
5. Review the correct calculation of regulatory capital according to solvency regulations (CRR) as well as regulatory reporting in COREP.
6. Strengthen the implementation and use of best practices for model review in Internal Audit.
Experience
Desirable previous 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
1. Knowledge in SQL, SAS, and/or R (mandatory).
2. Valuable master's or postgraduate courses/doctorate and specialization courses in modeling techniques, statistics, quantitative finance, econometrics, and risks.
3. Postgraduate courses in auditing, finance, or quantitative fields are valued, as well as having or preparing for related certifications.
4. Postgraduate courses and specialization courses in programming are also valued.
5. Desirable experience with management tools and database usage.
6. Advanced English level B2 or higher (mandatory).
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