Senior Credit Risk Modeller - Retail/Mortgages
Contribute to building a team from scratch
Broad role within dynamic , internationally oriented bank
Over onze klant
A retail bank - with an international heritage - launching various new consumer finance products.
Taken en verantwoordelijkheden
- 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 , liaison with the UK modelling team
- 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.
- Postgraduate qualification in a relevant subject (econometrics, statistics, math's, operational research), with knowledge of advanced statistical and analytical techniques.
- Proven ability to assimilate complex information and support decision making within the business.
- Ability to plan manage, coordinate and complete model development activities.
- Ability to get things done under pressure, hands-on mentality and pro-active.
- Excellent English communication skills both verbal and in writing and ability to demonstrate these skills effectively across all levels of the organization.
- Proven ability to work well within a team environment.
- Experience & Knowledge
- 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.
- A competitive remuneration package.