Interim Model Validator

For a bank in The Hague recruiting for an Interim Model Validator with a strong background in IRB models and mortgage loans to support a financial institution in independently validating credit risk models. In this role, you will assess the quality, performance and reliability of credit risk models, with a particular focus on residential mortgage portfolios. Start: asap Duration: 3 month to start with

Responibilities Interim Model Validator:

• Independently validate IRB credit risk models, with a specific focus on mortgage loans.

• Assess model methodologies, assumptions, data quality and performance.

• Conduct quantitative analyses, backtesting and benchmarking.

• Validate PD, LGD and EAD models and assess the underlying risk parameters.

• Identify, document and challenge model limitations, weaknesses and potential risks.

• Prepare validation reports and present findings and recommendations to model developers, Risk Management and other stakeholders.

• Ensure alignment with internal model governance and relevant ECB, EBA and CRR requirements.

• You will challenge model assumptions, evaluate methodologies and identify potential model risks, ensuring compliance with internal governance standards and relevant regulatory requirements.

Requirements Interim Model Validator:

• A university degree in Econometrics, Mathematics, Statistics, Finance or a related quantitative field.

• Demonstrable experience in IRB models and credit risk model validation.

• Hands-on experience with mortgage loans and the associated credit risk models.

• Strong knowledge of PD, LGD and EAD modelling.

• Experience in statistical analysis, backtesting and model performance monitoring.

• Knowledge of relevant Basel, CRR and ECB/EBA regulatory requirements.

• Strong analytical skills and the ability to translate complex model outcomes into clear conclusions and recommendations.

• Excellent stakeholder management and communication skills.

• Fluency in English; Dutch is an advantage.

Interested? Apply directly!

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