Senior - Credit Risk - Modeller
Ensure that the models are compliant with the model standards and regulations
Supporting the risk department by analysing data to detect portfolio trends
About Our Client
My client is a leading financial institution that will soon be supervised by the ECB.
- Developing models used in the domain of credit risk, asset risk, operational risk and
other risk domains;
- Developing models in line with model governance policy and regulatory guidelines;
- Managing the model development projects and ensuring delivery of the model within
the agreed timelines and quality;
- Collecting, verifying and if needed cleaning data;
- Testing the quality of the developed models;
- Monitor and report the performance of the models to the Global Head of Risk
Modelling & Analytics;
- Analyse the model performance and advise on model quality/accuracy;
- Analysing data in order detect portfolio trends which cause significant changes in the
capital or are not within the risk appetite.
The Successful Applicant
The ideal candidate has the interpersonal skills necessary to manage and build relationships
across multiple departments. Collaboration, agility project management and decision making
are examples of key behaviors reflecting the agile culture of LeasePlan.
- Quantitative academic education in a relevant field, like econometrics, statistics, mathematics or physics;
- Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus and/or machine learning;
- At least 10 years of work experience in credit risk model development in banking environment;
- Project management experience of model development for regulatory models;
- Experience in working with regulators (e.g. DNB or ECB) during model review sessions or on-site visits;
- Able to effectively communicate about model developments and model impact;
- Experienced in statistical languages (e.g. SAS, R) or modern programming languages (e.g. Python);
- Experience with data analytics, (pre)processing, and data handling is preferred;
- Experience with machine learning/advanced analytics techniques is preferred.
What's on Offer
- A competitive remuneration package