SENIOR CREDIT RISK MODELLER
WHAT ARE WE LOOKING FOR?
Our client develops and uses retail / credit risk models for IRB, IFRS9 and internal risk management purposes (loan acceptance, forecasting and stress testing, operations etc.). New model developments are driven by the addition of new products, growth of portfolios and the IRB rollout plan of our client.
The role of Credit Risk Modeller includes performing complex analyses on internal data, introducing new models and modelling methodologies, monitoring and maintenance of existing models. For these purposes, the credit risk modellers work as part of a project team, in alignment with internal stakeholders (CRCU, BI, etc.). Business reporting and statistical analytical skills are required to comprehend local data systems.
WHICH TEAM WILL YOU JOIN?
This role is within the Model Development and Monitoring function of the Risk Management & Controlling department. This department is the second line of defense for financial risks and also responsible for risk aggregation.
WHO ARE YOU AND WHAT DO WE ASK FROM YOU?
- Initial model development / redevelopment / monitoring of credit risk models (IRB, IFRS9, credit decision models, etc.)
- Ensure compliance with applicable regulatory requirements for capital and accounting risk models
- Introduce model testing methodologies and standards
- Introduce and challenge advanced statistical techniques development of credit risk models
- Ensure a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements
- Use state-of-the-art modelling techniques and ability to develop these further
- Work pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models
- Seniors modellers undertake project management activities
- Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research), with knowledge of advanced statistical and analytical techniques.
- A highly analytical approach to problem solving.
- Data analytics skills and programming skills (SAS, Python)
- Excellent English communication skills both verbal and in writing and ability to demonstrate these skills effectively across all levels of the organisation.
- Proven ability to work well within a team environment
Experience & Knowledge
- Experience in credit risk modelling in the IRB and/or IFRS9 context (4/6+ years).
- Understanding of the regulatory environment and requirements for capital and accounting risk models (CRR, EBA RTS's and Guidelines, IFRS9).
- Understanding of modern risk management techniques within Retail Banking, and in the use of risk models within such an environment.
- Experience in the extraction and manipulation of data to support risk model development
- Experienced in the use of SAS and Python in risk modelling problems.
WHAT'S IN IT FOR YOU?
On top of being part of a great group of colleagues we offer you;
- A custom made salary package (based on your experience & knowledge)
- 8% holiday allowance
- 13th month salary, either paid monthly or once a year
- A position for 32 to 40 hours a week
- Flexible working (Hybrid + the option to work 30 days remote anywhere within the EU)
- Provide you with a home office set up
- 30 holidays per year (excluding public holidays & based on fulltime employment)
- You can swap to exchange Dutch National Holidays for another day of your choosing
- Non-contributory pension scheme
- You can join our collective medical scheme with a discount
We want you to be healthy, so support you in joining a gym of your choosing through our sponsored (bedrijfs-) fitness