9 days ago
The Model Validation Credit Risk team is an energetic international team of highly qualified professionals within the Model Risk Management department. This fast growing team is responsible for validating the risk models used by the bank. We assure that models are appropriate for intended use and compliant with internal policies and external regulations. Our goal is to increase the bank's understanding of a model’s limitations & weaknesses and contribute to ongoing model improvement and ensure the added value of models.
What does a Model Validator Credit Risk do?
- Validating risk models, including performing quantitative analyses;
Creating high quality validation reports that are read by e.g. senior management, CRO staff, audit and ECB; and
Participating in meetings with model developers, senior management, internal & external audit and the European Central Bank.
Your model scope is broad and includes:
Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models
Credit Economic Capital model (INCAP) and the concentration Risk Framework; and
Stress Testing framework.
In addition, the team has the ambition to expend the scope to non-regulatory models such as underwriting models, pricing, early-warning systems.
These models are used for measuring and managing Credit Risk at the bank. In particular, the models in scope are used for calculations of the Loan Loss Provisions (IFRS9) as well as the Economic and the Regulatory (Basel II) Capital.
Who are we looking for?
- An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field;
- A minimum of 2 years related work experience with credit risk models (PD/LGD/EAD)
- Extensive knowledge in modelling/validation in either A-IRB or IFRS9
- Programming experience in SAS or another similar programming language.
Additionally, you should have
- An independent, creative and pro-active way of working;
- Critical but positive constructive mind-set;
- A team player; and
- Excellent communication skills and ability to write clear reports in English.
- A competitive salary
- A 40h (or 36h) working week
- A 13th month
- A public transport ticket for the Netherlands • Contribution to individual savings
- Possibilities for training
- Future career opportunities in the bank
- A dynamic and agile international working environment