Credit Risk Model Validation – Leading Dutch Bank

Full Time, Permanent
Amsterdam, Netherlands
Posted 2 weeks ago

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My client is a leading bank based in Amsterdam.  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 my client worldwide. They need to assure that models are appropriate for intended use and compliant with internal policies and external regulations. Their 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.

They now seek a Model Validation expert who will be:-

  • 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.

The Model Validation expert’s scope will cover:-

  • 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.

YOU!

The Model Validation expert will have:-

  • 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.

If you are a Credit Risk Model Validation expert looking for your next challenge with a great working environment and the opportunity to excel in a dynamic and agile environment then we would be keen to hear from you.

Job Features

Job CategoryBanking
Base Salary€ Excellent
Job Expiry2019-12-31

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