(Credit Risk) Model Validator - Retail Bank/Mortgages

Amsterdam Permanent

Added 02/06/2022

  • Second person joining the team, informal surrounding
  • (Credit Risk) Model Validation, IRBA, IFRS9, SAS or Python

About Our Client

My client is a retail bank with offices in Amsterdam and Berlin.

Job Description

  • 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
    performance
  • 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

The Successful Applicant

Qualifications
* Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational
research), with knowledge of advanced statistical and analytical techniques.

Capabilities
* 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
recommendations
* 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

What's on Offer

  • A competitive remuneration package
Contact
Rogier Jansen
Quote job ref
JN-062022-5634500

Job summary

Sector
Risk, Compliance & Audit
Sub Sector
Modeling / Model Validation
Industry
Financial Services
Jobs by location
Amsterdam
Contract Type
Permanent
Consultant
Rogier Jansen
Job Reference
JN-062022-5634500