My client, an international Bank, develops and uses retail/credit risk models for IRB, IFRS9 and internal risk management purposes (loan acceptance, forecasting and stress testing, operations etc.). These models cover all retail portfolios of the bank, including mortgages and personal loans. New model developments are driven by the addition of new products, growth of portfolios and the IRB rollout plan of the Bank.
The role of Credit Risk Modeller includes performing complex analyses on internal data, introducing new models and modelling methodologies, monitoring and maintenance of existing models. For these purposes, the credit risk modellers work as part of a project team, in alignment with internal stakeholders (CRCU, BI, etc.). Business reporting and statistical analytical skills are required to comprehend local data systems.
This role is within the Model Development and Monitoring function of the Risk Management & Controlling department of the Bank in the Netherlands. This department is the second line of defense for financial risks within the Bank and also responsible for risk aggregation within the bank.
Tasks
- 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
- Seniors modellers undertake project management activities
Qualifications
Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research), with knowledge of advanced statistical and analytical techniques.
Capabilities
- A highly analytical approach to problem solving.
- 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.
- Proven ability to work well within a team environment.
Experience & Knowledge
- Experience in credit risk modelling in the IRB and/or IFRS9 context.
- 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).
Are you living in The Netherlands and interested in joining our client? We look forward to receiving your cv. For more information about the role, you can contact Patricia Koekenbier @ patricia@himanagement.nl or 06-30400141
