Senior Credit Risk Modelling Specialist

Are you an experienced Credit Risk Modeller with strong quantitative skills? Do you want to work in a broad and diverse role with real impact? Then keep reading.

As a Senior Specialist Credit Risk Modelling, you will be responsible, together with a team of colleagues, for all quantitative models used to quantify credit risk within the bank.

The diversity of the role ranges from developing models to having discussions with our Board of Directors, DNB (De Nederlandsche Bank) and our auditor on macroeconomic developments. We will expect you to be in the lead on modelling decisions and to bring experience into the methodology, discussions and review of modelling decisions and activities.

Data coding are central to your work: To develop a good model, understanding data is essential. In addition, modelling requires extensive knowledge of statistical methods to build the most accurate model possible. In this senior role you are expected to propose ideas, challenge colleagues and improve the model landscape from your own initiatives.

Your responsibilities include:

• developing and recalibrating credit risk models
• discussing and challenging modelling methodologies/results of colleagues
• taking responsibility of (sub-)models and pro-actively foresee challenges and improvements during modelling cycles
• monitoring the models and analysing trends in the data
• help the junior modellers with data and/or modelling related questions
• presenting results to senior management
• lead discussions with internal and external stakeholders such as Model Validation, Internal Audit, and the De Nederlandsche Bank
• improving processes and contributing to our internal code library

Your talents

Result-driven, proactive, able to lead, and resourceful, that's how we can best describe you as a Credit Risk Modelling Specialist. In addition, you have:

• a quantitative MSc degree, preferably in Econometrics, Mathematics, Physics or Actuarial Science;
• 3-4 years of experience in developing statistical models such as logistic regressions, time series analysis and machine learning models;
• DNB on-site and Model Validation cycle experience from the modelling side or the validating side is preferred;
• Regulatory knowledge of credit risk products and IRB modelling
• strong programming skills and coding discipline, preferably in R or Python, SQL and git;
• good knowledge of the English language, both oral and written;
• strong communication skills.

The team develops and maintains two important modelling landscapes, IFRS-9 and A-IRB. These are the landscapes for our expected credit losses and our unexpected credit losses. In addition, the team develops and maintains various other models, such as capital stress tests, ESG stress tests and concentration risk models.

As a Specialist Credit Risk Modelling, you will be given a market salary plus:

• a flexible budget to arrange some of your own secondary employment conditions; the ability to decide how to spend this budget, from holiday allowance to a thirteenth month, extra leave days and much more.
• the space to take a longer period of leave; for a sabbatical, for example.
• training opportunities.
• a pension scheme.

Robert Walters Netherlands is acting as an Employment Agency in relation to this vacancy.