Credit Risk Modelling Specialist (A-IRB or IFRS 9)
This is where you will work
Our client is looking for Financial Risk Modellers that have a strong affinity with Credit Risk Economic Capital Modelling within the Financial Risk Model Development department. It is an energetic international department of more than 100 highly qualified professionals, who are determined to develop the best possible financial risk models to empower the customers of the bank to stay ahead financially, in life and business. The expertise of the department lies in the development and management of all regulatory and non-regulatory Credit Risk, Market and Trading Risk, Operational Risk and Asset and Liability Management models with state-of-the-art modelling methods, tooling and data processing technologies. These models are core to the success of the bank and they are applied for different purposes, amongst others to determine the exposure measurement, capital adequacy and the management thereof.
At our client they follow the Agile approach, using flexible frameworks like Scrum for their daily work.
The Financial Risk Model Development department is an international team of more than 100 highly qualified professionals. Their expertise lies in the development and management of credit risk, ALM and operational risk models.
The Credit Risk Capital models are core to the success of the bank and include IRB and IFRS9 models (PD, LGD, EAD) for retail and wholesale portfolios, as well as non-regulatory models. The models are used by all local Risk Management (RM) units within the bank.
As an Expert / Specialist in Credit Risk Economic Capital modelling, you will be given the opportunity to apply and gain further experience in Economic Capital modelling topics, using state-of-the-art modelling methods, tooling and data processing technologies
This is the role
You will participate in the development and maintenance Credit Risk of Economic Capital models for the measurement and management of credit risk, as an integral part of the group-wide financial risk modelling team. You will take responsibility for:
- Developing, implementing and maintaining all the models and related tooling using mostly Python, SAS or R
- Monitoring of internal models through annual reviews
- Performing periodical calibration of the models
- Documenting the assessments in line with the required standards (e.g. technical model documentations)
- Help and assist in the implementation of the models/tools you have developed
The models that you develop will cover all products and geographical regions in the bank portfolio.
This is you
- An academic degree (MSc or PhD) in mathematics, physics, econometrics, quantitative finance, or a similar quantitative field
- At least 3 year experience in developing Credit Risk or Market Risk Economic Capital models
- Vast Experience withriskmodelling in at least two of the following:
- quantitative finance modelling, banking, pricing and credit and market risk models
- advanced statistical techniques such as multifactor modelling, GLMM, Bayesian Statistics and Importance Sampling Techniques
- development of (credit) (risk) IRB and / or IFRS9 models
- Experience in financial and statistical programming using Python, SAS, or R
- Knowledge of financial regulation (Basel, EBA, ECB, IFRS9)
- Experience with databases, data modelling, data preparation and data quality control is considered a plus
This is what you can expect
A job from 36 to 40 hours and a unique offer that fits in with the times of today. We take into account your home situation and your ambitions and help you to balance work and private life. Discover yourself our employment conditions:
To give you an idea, we will tell you about the benefits of working at our client:
- A salary tailored to your qualities and experience
- Great international career opportunities
- Flexible working hours and the possibility to work at home
- Reimbursement for travel expenses
- Pension scheme
- 13th month salary
- 8% Holiday payment
- Individual Savings Contribution (BIS), 3.5% of your gross annual salary
- Personal growth and challenging work with endless possibilities to realize your ambitions
- An informal working environment with innovative colleagues who strive for the very best
- Progressive way of working according to the Agile method, so that new ideas come to life
