- Looking for an experienced LGD model developer
- Broad role within international surrounding, extensive remuneration package
Over onze klant
My client is active in 29 countries and is regulated by ECB. The HQ is in Amsterdam.
- Development of the Basel PD, LGD, EAD models;
- Development of the IFRS 9 model;
- Create model change calendar and manage model development projects;
- Develop model according to the regulatory requirements, internal development standards and in line with the model governance framework;
- Assess the compliancy of the model to the regulation and fill in the regulatory checklist;
- Assess the model risk and propose resolution to maintain the model risk within the model risk appetite;
- Estimate the impact of the model changes qualitative and quantitative;
- Peer review and quality assurance of developed models;
Maintenance of Models:
- Maintenance and 2nd line support of credit risk + IFRS 9 models;
- Ensure timely resolution of model observations (validation finding or monitoring finding);
- Maintain the model standard for each model category (PD, LGD, IFRS 9);
- Ensure model validation findings are resolved within agreed timelines;
- Analyse the model monitoring reports and identify potential issues;
- Maintain model performance within the model risk appetite.
- Quantitative academic education in a relevant field, like econometrics, statistics, mathematics or physics;
- 5-10 years of work experience in developing credit risk related models;
- In depth understanding of regulatory requirements over Basel credit risk models;
- Knowledge of loss database, collection process, (downturn) LGD and in-default LGD models are strongly preferred.
- Experienced in statistical languages (e.g. SAS, R) or modern programming languages (e.g. Python).
- Experience in working with regulators (e.g. DNB or ECB) during model review sessions or on-site visits would be a plus;
- Certification Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) would be a plus;
- a competitive remuneration package.