Salaris €65,000 - €80,000 per annum + competitive
Consultant Ton van der Kooi
Datum 8 juni 2018Zuidplein 28 1077 XV Amsterdam Robert Walters The Netherlands
Are you an experienced Risk Modeller with good quantitative skills? Do you want to work for an international Head office in Amsterdam? Then keep reading.
For the head office of a leading international organisation located at the Zuidas in Amsterdam I am searching for a Risk Modeller.
The Risk Modelling & Analytics team is responsible for the risk models used within the organisation. The department must ensure the organisation is compliant with regulations and operates within the set risk appetite. The models are related to credit risk, asset risk, operational risk and other risk domains. The outcomes of these models are input for economic and regulatory capital calculation, credit decisioning and asset management.
The senior risk modeller is involved in the development, validation, implementation and monitoring of regulatory and business models. The senior risk modeller must ensure that the models are compliant with the model standards and regulations. The role is supporting the risk department by analysing data in order detect portfolio trends which cause significant changes in the capital or are not within the Risk Appetite.
Key expertise areas:
Developing models used in the domain of credit risk, asset risk, operational risk and other risk domains
Perform model monitoring and report the performance of the models to stakeholders
Analysing data in order detect portfolio trends which cause significant changes in the capital or are not within the Risk Appetite.
Example of an activities:
- Developing models in line with model standards and regulatory guidelines
- Collecting, verifying and if needed cleaning data
- Testing the quality of the developed models
- Supervise entity application scorecard development
- Execute model monitoring scripts
- Present the outcome of the model monitoring in reports
- Analyse the model performance and advise and model quality/accuracy
- Extract data out of the data warehouse and analyze trends
- Develop and maintain dashboards to assess for example fleet risk (Asset risk)
- Determine the run off the active portfolio
Qualification and competencies
- Quantitative academic education in a relevant field, like econometrics, statistics, mathematics or physics;
- Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus and/or machine learning;
- At least 6 years of work experience in quantitative analysis, preferably risk modelling;
- Experienced in statistical languages (e.g. SAS, R) or modern programming languages (e.g. Python);
- Experience with regulatory modelling (BIS, EBA, CRD, IFRS);
- Experience with data analytics, (pre)processing, and data handling;
- Experience with machine learning/advanced analytics techniques is preferred;
- Able to effectively communicate about model developments and model impact;
- Strong analytic skills; Excellent team player;
- Advanced interpersonal and communicative skills
- English (fluent, verbally and written)
You will be offered a market salary with vey good secondary benefits including a bonus, non contributory pension scheme and a lease car. Moreover, you will be offered to join a dynamic organization with extensive development opportunities.
Are you interested in the role of Risk Modeller? Then apply as soon as possible.