Do you have well-developed quantitative skills and experience in Credit Risk Modelling? Then keep reading.

For an international Bank in the Amsterdam area, Robert Walters is searching for a Credit Risk Modelling Specialist.

The department is the second line of defence for financial risks within the Bank and also responsible for risk aggregation within the bank.
The Bank develops and uses credit risk models for IRB, IFRS9 and internal risk management purposes (loan acceptance, forecasting and stress testing, operations etc.).
The role of Credit Risk Modeller includes performing complex analyses on internal data, introducing new models and modelling methodologies, monitoring and maintenance of existing models. For these purposes, the credit risk modellers work as part of a project team, in alignment with internal stakeholders.

KEY ACCOUNTABILITIES

• Initial model development / redevelopment / monitoring of credit risk models (IRB, IFRS9, credit decision models, etc.).
• Ensure compliance with applicable regulatory requirements for capital and accounting risk models.
• Introduce model testing methodologies and standards
• Introduce and challenge advanced statistical techniques development of credit risk models.
• Ensure a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements.
• Use state-of-the-art modelling techniques and ability to develop these further
• Build and manage effective relationships with colleagues in the wider Risk team and across partnering business functions (such as Modelling and validation functions, Finance, Customer Analytics and Risk Infrastructure)
• Work pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models
• Seniors modellers undertake project management activities

QUALIFICATIONS, KNOWLEDGE & SKILLS

• Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research), with knowledge of advanced statistical and analytical techniques.
• Data analytics skills and programming skills (SAS, Python)
• Excellent English communication skills both verbal and in writing and ability to demonstrate these skills effectively across all levels of the organisation.
• Experience in credit risk modelling in the IRB and/or IFRS9 context (2/4/6+ years).
• Understanding of the regulatory environment and requirements for capital and accounting risk models (CRR, EBA RTS’s and Guidelines, IFRS9).
• Understanding of modern risk management techniques and in the use of risk models within such an environment.
• Experienced in the use of SAS and Python in risk modelling problems (advanced/proficient level).

OFFER
A fulltime role (40 hour) with a market-salary and excellent secondary employee benefits.
Are you interested in this role? Then apply as soon as possible.