Model Validation Quantitative Analyst – CRO Model Risk Management 80-100% (f/m/d)

At Julius Baer, we celebrate and value the individual qualities you bring, enabling you to be impactful, to be entrepreneurial, to be empowered, and to create value beyond wealth. Let’s shape the future of wealth management together.

As a member of the ‘Model Risk Management team’, you will perform independent technical validations on financial and non-financial models, enforcing model validation and governance standards, managing and reporting model risk to senior management.

The function ‘Model Risk Management’ is part of the Risk Governance & Assessment department – whose Head reports directly to the Chief Risk Officer, a member of the Executive Board.

• Perform independent validation of models with a focus on generative and predictive artificial intelligence (AI) applications through quantitative/statistical techniques, development of benchmark models and data analysis, in accordance with a multi-annual review plan. This includes:

  • Testing of the model’s use case and related assumptions (including expert-based judgements), conceptual soundness, implementation, appropriateness of input data, model parameters, and their calibration accuracy

  • Assessing the model risk rating and technical model documentations

  • Identification and evaluation of model limitations, and assessment of overall model risk in new and existing models

  • Production and delivery of model validation reports in high standards (in English) to evidence a sound challenge and risk-oriented validation findings

• Track and verify model risk mitigation activities and ensure adequate oversight over models through their lifecycle

• Maintain and further develop the model governance framework and model risk management processes especially for AI models

• Independently review and challenge the models on-going monitoring process for the model performance indicators along quantitative risk metrics

• Build strong relationships and interact with model owners, users, subject matter experts and Risk Management functions both at headquarter in Zurich and in international locations

• Higher university degree in a quantitative area (Mathematics, Statistics, Economics, Physics, Engineering, Quantitative Finance, Data / Computer Science), Master or PhD level, FRM or PRM is an advantage

• Strong industry experience as an independent Model Validator and/or Model Developer with a minimum of 4-6 years within financial service industry or management consulting

• Profound knowledge and hands-on experience in validating use cases for Large Language Models and/or Machine Learning models

• Expertise in data assembling and analysis, computational statistics, anomaly detection, AI/ML including relevant programming skills (e.g., Python, R, VBA, SQL, C++), understanding of ML Ops

• Ability to implement own testing code (e.g., in Python or R) as a challenger model

• Strong problem-solving and analytical skills, with the ability to think critically and creatively about complex challenges

• Results-oriented individual with outstanding interpersonal skills, written and verbal communication skills, proficiency in English. Fluency in German is an additional asset

• Focused on clients and can communicate impactfully with business partners and explain technical and complex themes to a diverse range of audiences

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