Model Risk Specialist

Nubank; São Paulo; Presencial; BRL 223 200 - 334 800; Tempo integral

Resumo da oferta

Nubank is hiring a Senior Individual Contributor to enhance their Model Risk Management process. You will conduct reviews, develop playbooks in Python, SQL, and Scala, and communicate complex risk topics with diverse stakeholders.

The ideal candidate has extensive experience in risk management, strong analytical skills, and proven programming capabilities. Join a diverse and skilled team to make impactful decisions across various processes.

Qualificações

• Experience developing or validating market risk and liquidity risk models.
• Technical knowledge of risk metrics like VaR and Delta EVE.
• Strong programming skills.

Responsabilidades

• Conduct independent reviews of market and liquidity risk models.
• Develop playbooks and optimize models reviews with Python, SQL, Scala.
• Discuss model risk status with stakeholders.

Descrição da oferta de emprego

The position

This is a senior individual contributor position, in which you will:

• Conduct independent reviews of IRRBB, market & liquidity risk and stress testing models, identifying and validating model's uses, hypothesis, data, methodologies and compliance with regulatory requirements.
• Provide effective challenges to models and modelling processes, identify risks and enhancement opportunities, and engage with other analysts to strengthen our decision making tools and capabilities.
• Develop playbooks and toolkits (Python, SQL, Scala, etc.) to optimize models reviews, ongoing monitoring, and assess the impact of models in decisions.
• Contribute to the construction of Nubank's Model Risk Management and Model Review processes with autonomy and creativity.
• Discuss and report model risk status and independent opinions with different stakeholders, including senior managers and regulators.
• Be exposed to different types of decisions and processes (e.g. credit, fraud, operations and in different countries)
• Ensure the team maintains a high level of technical excellence.
• Work in a multicultural, diverse and highly skilled environment.

Basic Qualifications

• Experience developing or validating market risk, liquidity risk or stress testing models used to leverage important decision-making processes or to solve relevant academic problems.
• Technical Knowledge of risk metrics (DV01, VaR, Delta EVE, Delta NII, LCR) and pricing models of financial instruments (fixed income and basic derivatives).
• Strong knowledge on risk management regulation (model risk management, ICAAP, IRRBB, FRTB).
• Strong programming skills.
• Proactive, autonomous and ability to learn fast, with strong analytical, and data-driven problem-solving skills, motivated by challenges.
• Organized and detail-oriented, without losing track of the big picture.
• Good communication and interpersonal skills, with the ability to influence and effectively discuss complex topics with both technical and non-technical stakeholders.
• AI Skills: Independently build or guide teams in building no-code/low-code AI automations on safe and effective usage patterns. Make high-stakes decisions on AI appropriateness, investing in value-added projects and experiments.
• English language proficiency.

Preferred Qualification

• Previous experience in market & liquidity risk management, stress testing or other risk management frameworks;
• Technical knowledge of finance, ALM and Hedge Accounting;
• Academic or professional experience in statistical and mathematical model application and/or validation;
• Strong knowledge on risk management regulation (model risk management, PRA SS1/23, FED SR 11-7, FED SR 26-2).
• Master degree or relevant undergraduate scientific project.
• Financial or risk certificate (FRM or CFA).
• Previous experience with programming languages and tools (Python, SQL, Scala, Databricks, Github, Cursor).