Senior (Credit) Risk Modeller - retail bank

Amsterdam Vast dienstverband

Toegevoegd 17/06/2021

  • Help establish and mature a recently founded modelling team
  • Dynamic, international, flat organization

Over onze klant

A retail bank

Functie

  • Deep understanding and experience with credit risk modelling approaches for IRB and IFRS 9 models.
  • Good knowledge and understanding of regulatory modelling requirements for capital and accounting related credit risk models.
  • Sparring partner and advisor to senior management
  • Ability to apply and challenge advanced statistical/technical methods in the development of credit risk models
  • Ensure a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements
  • Use up-to-date model development standards and processes and ability to develop these further
  • Build and manage effective relationships with colleagues in the wider Risk team and across partnering business functions (such as Modelling and validation functions, Finance, Customer Analytics and Risk Infrastructure)
  • Support junior colleagues in the development of their modelling skills
  • Work pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models
  • Deliver all individual key tasks across the model life cycle to agreed timescales with minimal ongoing management, anticipating constraints and taking mitigating actions

Profiel

  • Experience related to participation in larger model development projects, including responsibility for delivery of (parts of) such projects
  • Good understanding on regulatory requirements regarding internal models for retail credit risk - internal ratings based approach (IRB) - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines.
  • Experience in the development of Retail (Capital) models and comprehensive and broad knowledge of the Dutch mortgage market.
  • Good knowledge 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, e.g. defining observation periods, outcome periods, choosing a suitable "bad" definition, for scorecard models, and equivalent experience for other modelling approaches.
  • Experienced and competent in the use of computer-based software and/or statistical packages.

Aanbod

- a competitive remuneration package.

Contact
Rogier Jansen
Referentienummer
JN-062021-2927953

Vacature samenvatting

Industrie
Vacatures per locatie
Contract Type
Consultant
Rogier Jansen
Vacature referentie
JN-062021-2927953