Model Risk Specialist

About Us

Nu is one of the largest digital financial platforms in the world with more than 122 million customers across Brazil Mexico and Colombia. Guided by our mission to fight complexity and empower people we are redefining financial services in Latin America and this is still just the beginning of the purple future were building.

Listed on the New York Stock Exchange (NYSE: NU) we combine proprietary technology data intelligence and an efficient operating model to deliver financial products that are simple accessible and human.

Our impact has been recognized by global rankings such as Time 100 Companies Fast Companys Most Innovative Companies and Forbes Worlds Best Bank. Visit our institutional pagehttps:// Model Risk team

At Nubank we heavily rely on data machine learning AI and other quantitative models & techniques to drive our strategy and provide the best experience and products to our customers.

The position holder will be part of the Model Risk team within the Risk Management structure at Nubank.

The Model Risk team is the second line of defense for our models. Our mission is to ensure Nubank relies on world-class solutions that will lead to optimal and sustainable decisions. We act by providing independent review & challenge to models staying tuned to cutting edge techniques along with business customers and regulatory needs. We also work to identify and control risks related to our models as well as in the definition and implementation of feedback loops to constantly improve them.

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 models 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 Nubanks 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).

Benefits

• Chance of earning equity at Nubank
• Food/ Meal Card (Vale-Refeição and/or Vale Alimentação)
• Public Transportation Commuting Benefit (Vale-Transporte)
• NuCare Psychological Financial and Legal Assistance Program
• Life Insurance
• Medical Plan
• Dental Plan
• NuLanguage Language Course Program
• Nucleo - Our learning platform of courses
• Extended Parental Leave
• Daycare Allowance
• Parental Consultancy
• Work-from-home Allowance
• Gym Partnerships
• 30 days of paid vacation
• Relocation Assistance Package if applicable

Hybrid 2-3 times/week:Our hybrid work model brings us to the office at least twice a week on strategic days designed to maximize team connection and collaboration. For more details visithttps:// Experience:

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