(Senior) Model Developer - ECB regulated bank

Amsterdam Vast dienstverband

Toegevoegd 27/09/2022

  • 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.

Functie

Model Development:

  • 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.

Profiel

  • 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;

Aanbod

  • a competitive remuneration package.
Contact
Rogier Jansen
Referentienummer
JN-092022-5774620

Vacature samenvatting

Sector
Risk, Compliance & Audit
Sub Sector
Modeling / Model Validation
Industrie
Financial Services
Vacatures per locatie
Amsterdam
Contract Type
Permanent
Consultant
Rogier Jansen
Vacature referentie
JN-092022-5774620