Credit Risk Model Validator (BBBH13973) North Holland, Netherlands
We are looking for an experienced Credit Risk Model Validator to be part of the exisiting to excute credit risk model validation activities, and also take part in updates of the internal (credit risk) validation framework.
What you are going to deliver:
- The (components of) validation reports on (re)developed models, data, or model implementation
- The validation reports for periodic validation of bank’s IRB models or credit decisioning models
- The updated tools or documentation regarding internal validation framework.
An ideal profile would be:
- University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level, and dditional qualification (e.g. FRM, CFA, CQF certificates) is a big plus.
- At least 2 years of relevant work experience in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant, member of supervisory authority)
- Full professional proficiency of English, both in writing and verbally
- Regulatory requirements for internal models for credit risk (Basel III/IV, CRR/CRD, EBA technical standards and guidelines)
- AIRB credit risk modelling or validation
- Experience in handling, pre-processing and assessing the quality of (large) data sets
- Experience with Python, SAS and their application in statistical analysis.