(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.


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.


  • 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.
Rogier Jansen

Vacature samenvatting

Risk, Compliance & Audit
Sub Sector
Modeling / Model Validation
Financial Services
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Contract Type
Rogier Jansen
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