Credit Risk Quant – Model Validation Consultant

Full Time, Permanent
Amsterdam, Netherlands
Posted 2 weeks ago

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Leading financial services firm is seeking experienced Model Validation consultants for a role based in Amsterdam with a minimum of 5 years’ relevant credit risk model validation experience, preferably from the banking arena. This company offers excellent career prospects and working environment.

Duties:-

  • 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 will be 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 2 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.

Additionally, you should have:-

  • An independent, creative and pro-active way of working;
  • Critical but positive constructive mind-set;
  • A team player;
  • Excellent communication skills and ability to write clear reports in English

Salary: Competitive!

info@quantribute.com for the best credit risk quant jobs

Job Features

Job CategoryBanking
Base Salary€ Highly Competitive Daily Rate
Job Expiry2019-12-31

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