- Second person joining the team, informal surrounding
- (Credit Risk) Model Validation, IRBA, IFRS9, SAS or Python
Over onze klant
My client is a retail bank with offices in Amsterdam and Berlin.
- Validation of all aspects of Retail Credit Risk models, including new developments, model
changes and periodic validations
- Challenging data processing, statistical and business soundness of the model and model
- Clear, precise and structured reporting of and defending the validation results
- Provide user feedback to improve the model risk framework, including the validation policies and procedures
- Presentation of independent model review of Retail Credit Risk Models to Model Governance Committee
- Maintain knowledge of model risk and regulatory requirements and standards
- Critically assess the operating environment in which models are being developed and deployed
- Ensure the effective cooperation of the team across the two locations
- Liaison with the UK model validation team Presenting of validation results to the Bank's Model Risk Committee
* Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational
research), with knowledge of advanced statistical and analytical techniques.
* Proven ability in time management, planning and organizational skills.
* A highly analytical approach to problem solving.
* Ability to assimilate complex information into actionable insights, findings and
* Ability to get things done under pressure, hands-on mentality and pro-active.
* Excellent English communication skills both verbal and in writing.
Experience & Knowledge
* Credit risk model validation experience in an ECB or EU regulated institution
* Knowledge and understanding of regulatory modelling requirements for capital and accounting
related credit risk models
* Experienced and competent in the use of SAS, SQL, Python or similar languages/packages.
* Solid knowledge of statistics and econometrics: modelling assumptions, model estimation,
statistical model performance testing
- A competitive remuneration package