Credit Risk Modeller
Salaris €70,000 - €95,000 per year + Competitive
Consultant Michael Daroen
Datum 12 augustus 2022noord-holland banking-financial-services/risk-management 2022-08-12 2022-10-11 banking Amsterdam North Holland NL EUR 70000 95000 95000 YEAR Robert Walters https://www.robertwalters.nl https://www.robertwalters.nl/content/dam/robert-walters/global/images/logos/web-logos/square-logo.png
For an international retail bank in Amsterdam we are currently recruiting for a credit risk modeller. In this role you have a big scope in a fast growing environment.
You are Model Development and Monitoring function of the Risk Management & Controlling department. The Bank develops and uses retail / credit risk models for IRB, IFRS9 and internal risk management purposes (loan acceptance, forecasting and stress testing, operations etc.).
Key Accountabilities Credit Risk Modeller
- 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;
Key Capabilities Credit Risk Modeller:
- 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);
- Ability to get things done under pressure, hands-on mentality and pro-active;
- 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 within Retail Banking, and in the use of risk models within such an environment;
- Experience in the extraction and manipulation of data to support risk model development;
- Experienced in the use of SAS and Python in risk modelling problems (advanced/proficient level)
Interested and available? Apply directly.
Neem contact op
+31 20 644 46 55
Salaris: €70,000 - €95,000 per year + CompetitiveLocatie: AmsterdamDatum online: 12 september 2022For an international retail bank in Amsterdam we are currently recruiting for a credit risk modeller. In this role you have a big scope in a fast growing environment. Interested? Read more.
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