Senior Credit Risk Modeller

Our client, a Leading Dutch Financial Institution, is looking for a Senior Credit Risk Model Developer to join their international Risk Modelling team.

You will be working in an international team of professionals that have a true passion for what they do. The decisions made in this team will impact the company at every level and we rely on the expertise of this dedicated team to make these decisions. The client is an IRB bank with a unique combination of great opportunities, short reporting lines and broad responsibilities.

This is a remote role for the right candidate, depending on location.

Making a difference

• You will be responsible for developing, maintaining and continuously improving robust and reliable models, such as PD and LGD models stress testing - and provisioning models.
• You will ensure that the models you developed are compliant with internal policies as well as external regulations (ECB, EBA, IFRS9).
• You will work independently and as part of the team and reason the decisions taken throughout the modelling process.
• Substantiating modelling assumptions and assessing their impact on the model outcome, as well as increasing the understanding of a model's limitations and weaknesses are part of your responsibilities.
• Developing recommendations based on the performed quantitative analysis and effectively communicating with the model stakeholders (Business, Model Validation, Senior Management, Internal Audit, et cetera) is also part of your responsibilities
• You will translate new developments within the banking industry such as new regulation, industry best practices, academics and industry benchmarking exercises

Key experience:

• Master's degree in Econometrics, Actuarial Science, Statistics, Mathematics or another quantitative discipline
• Experience with credit risk models (PD/LGD/EAD) and knowledge in modelling or validation in either IRB or IFRS9
• Regulatory requirements for internal models for credit risk (Basel III/IV, CRR/CRD, EBA technical standards and guidelines)
• Experience with modern programming languages, e.g. SAS, PYTHON, R