- Help establish and mature a recently founded modelling team
- Dynamic, international, flat organization
About Our Client
A retail bank
- 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
The Successful Applicant
- 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.
What's on Offer
- a competitive remuneration package.