Credit Risk Validator
Consultant Ton van der Kooi
Datum 25 juni 20192019-06-25 2019-08-24 banking Amsterdam North Holland NL EUR 80000 110000 110000 YEAR Robert Walters https://www.robertwalters.nl https://www.robertwalters.nl/content/dam/robert-walters/global/images/logos/web-logos/square-logo.png
Do you want to work in a team of highly qualified and international professionals? Do you want to work for a leading and innovative team where you can make the difference with your quantitative skills? Then keep reading.
The Credit Risk Team is an energetic international team of highly qualified professionals within the Model Risk Management department. This fast growing team is responsible for validating the risk models used by the group worldwide. This department assures that models are appropriate for intended use and compliant with internal policies and external regulations. The goal is to increase the understanding of a model’s limitations & weaknesses and contribute to ongoing model improvement and ensure the added value of models.
- Validating risk models, including performing quantitative analyses;
- Creating high quality validation reports that are read by e.g. senior management, CRO staff, audit and ECB; and
- Participating in meetings with model developers, senior management, internal & external audit and the European Central Bank.
Your model scope is broad and includes:
- Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models
- Credit Economic Capital model (INCAP) and the concentration Risk Framework; and
- Stress Testing framework.
In addition, the team has the ambition to expend the scope to non-regulatory models such as underwriting models, pricing, early-warning systems.
These models are used for measuring and managing Credit Risk. In particular, the models in scope are used for calculations of the Loan Loss Provisions (IFRS9) as well as the Economic and the Regulatory (Basel II) Capital.
Who are we looking for?
- An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field;
- A minimum of 4 years related work experience with credit risk models (PD/LGD/EAD)
- Extensive knowledge in modelling/validation in either A-IRB or IFRS9
- Programming experience in SAS or another similar programming language.
- An independent, creative and pro-active way of working;
- Excellent communication skills and ability to write clear reports in English.
- A competitive salary
- A 40h (or 36h) working week
- A 13th month
- A public transport ticket for the Netherlands
- Possibilities for training
- A dynamic and agile international working environment!
Are you interested in the role of Credit Risk Validator? Then apply as soon as possible.