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 ).
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