Model Risk Specialist: Python, VaR & Stress Testing Expert

Cassa di Compensazione e Garanzia S.p.A.; Roma; On-site; EUR 45,000 - 55,000; Full time

Job summary

Cassa di Compensazione e Garanzia S.p.A. in Rome is seeking a Model Risk – Specialist to independently validate risk models for market, credit and liquidity risk.

You will develop Python-based replications of margin and stress testing models and analyze significant model changes with clear recommendations. The role requires a Master’s degree in a quantitative field, 5-7 years in banking or finance, and strong programming (Python/SQL/Julia).

Qualifications

• Master's Degree in Quantitative Finance, Engineering, Mathematics, Statistics, Physics or equivalent.
• 5-7 years of experience in banking or financial services, regulators or consultancy; experience with Clearing Houses is a plus.
• Solid grounding in market risk quantitative techniques (VaR and Expected Shortfall estimation and backtesting).
• Familiarity with EMIR regulatory framework and ESMA standards is a plus.
• Proficiency in Microsoft Office; strong programming skills (Python, SQL, Julia) and ability to build quantitative models.

Responsibilities

• Independently validate risk models used to measure market, credit, and liquidity risk.
• Develop and maintain Python replications of margin and stress testing models.
• Analyse significant model changes and propose recommendations.
• Design and perform sensitivity analyses, backtesting, anti-procyclicality and stress testing analyses.
• Validate data inputs and implement data analysis improvements.
• Liaise with Regulators on MV topics and with model designers and external consultants.
• Present findings and draft independent validation reports to internal and supervisory standards.

Skills

Python

SQL

Julia

Analytical skills

Teamwork

English fluency

Communication

Problem-solving

Education

Master's degree in Quantitative Finance / related

Tools

Microsoft Office

PyCharm

Bloomberg

Reuters

Job description

Cassa di Compensazione e Garanzia S.p.A. in Rome is seeking a Model Risk – Specialist to independently validate risk models for market, credit and liquidity risk.

You will develop Python-based replications of margin and stress testing models and analyze significant model changes with clear recommendations. The role requires a Master’s degree in a quantitative field, 5-7 years in banking or finance, and strong programming (Python/SQL/Julia).