Senior Analyst - Market & Liquidity Risk Models Validation

About Us

Nu was born in 2013 with the mission to fight complexity to empower people in their daily lives by reinventing financial services. We are one of the world’s largest digital banking platforms, serving millions of customers across Brazil, Mexico, and Colombia. For more information, visit our institutional page https://international.nubank.com.br/careers/

About The Team

At Nubank we heavily rely on data, machine learning 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.

About The Role

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 challenge, identify risks and enhancement opportunities, and engage with other analysts to strengthen our decision making tools;
• Develop playbooks and toolkits (Python, Scala, SQL, etc.) to optimize model reviews, ongoing models monitoring, and assess the impact of models in decisions;
• Contribute to the consolidation of Nubank's Model Risk Management and Model Review frameworks with autonomy and creativity;
• Discuss and report model risk status and independent opinions on models with different stakeholders, including senior managers and regulators;
• Ensure the team maintains a high level of technical excellence.

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);
• Strong programming skills (Python, SQL);
• Proactive, autonomous, with strong analytical and 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.
• Advanced English.

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;
• Master degree or relevant undergraduate scientific project;
• FRM or CFA certificate;
• Desirable previous experience with programming languages and tools (Scala, Databricks, Github).

Our 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
  
  

Our Nu Way of Working

Our work model is hybrid and has cycles that can be from two to three months according to the business of expertise. For every eight or twelve weeks of remote work, one will be at the office.

Diversity & Inclusion

At Nu, we want to be sure that we're building a more diverse and inclusive workplace that reflects the customers we serve and seek to empower. That's why we hire based on equality. We consider gender, ethnicity, race, religion, sexual orientation, and other identity markers as enriching elements to our company while ensuring neither of them represent a barrier when recruiting fantastic talent.