ICAAP Review - IRRBB Credit Risk Model Specialist (2x)
Freelance project

Location: Amsterdam, hybrid
Duration: 24/09/2025 - 19/12/2025
Daily rate: €500,- per day offsite, €600,- p/d onsite
Minimum exp: 5+ years

For a high-profile regulatory project in collaboration with a world-leading firm, we are urgently looking for 2 IRRBB credit risk specialists. If you meet all of the below requirements, we look forward to receiving your CV very soon. 

What you will do:
Support the on-site project team in the review of the institution’s ICAAP by the means of:

1. Assessing the bank’s economic capital models with respect to credit risk and interest rate in the banking book (IRRBB). With specific focus on the following aspects of the models:

   1. Model inputs (data quality, robustness of underlying risk data and IT infrastructure)

   2. Structure of the models

   3. Risk quantification

   4. Model validation, including mitigation for model risk

2. Setting up a detailed inspection plan, in collaboration with the project lead and other members of the on-site inspection team.

3. Gathering and analysing model (validation) documentation and standards, including the verification of the compliance of the bank’s policies and practices with regulation.

4. Performing quantitative analyses on the datasets used to calibrate the models, including the establishment of root causes in case of data quality issues.

5. Contributing to the on-site inspection report.

Required skills:
Extensive experience with credit risk model development and/or model validation, demonstrated through:

• Excellent knowledge of (statistical) concepts relevant to credit risk modelling, such as stochastics, simulation, correlation, concentration and migration risk.

• Excellent knowledge of relevant inputs to credit risk models, such as PD, LGD, EAD and IFRS9.

• Knowledge of relevant laws, regulations and ICAAP.

• Experience with (economic capital) model development and validation with respect to interest rate risk in the banking book

Please note this is a Freelance project, without KvK registration we cannot accept your application!