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Senior Model Risk Specialist

  • Location:

    Utrecht

  • Sector:

    Actuarial, Risk & Compliance

  • Job type:

    Permanent

  • Salary:

    €85000 - €115000 per jaar

  • Contact:

    Bonanza Tan

  • Contact email:

    Bonanza.Tan@oliverjames.com

  • Job ref:

    JOB-022024-237872_1707487667

  • Published:

    23 giorni fa

  • Expiry date:

    2024-02-18

Model Risk Expert

As a Model Risk Expert, your contribution in the area of credit risk models could make a difference in sustaining the business and products that support their customers every day. Your knowledge, skills, and enthusiasm will contribute directly to the success of a global company.

Day to day:

  • In your day-to-day job you will work closely with modellers, other policy specialists and the business in order to ensure that the models properly reflect the regulation, the business and are in line with the risk appetite. In particular, you will:
  • support the maintenance of risk and compliance models (PD, LGD, EAD, IFRS9);
  • translate current and proposed regulatory requirements such as CRR and EBA Guidelines on PD and LGD estimation into instructions a credit risk modeller can use in developing regulatory compliant IRB and IFRS9 models;
  • take a leading role for the quality assurance of initiatives within the bank which affect the modelling process. For example reviewing Basel IV requirements, reviewing the application of modelling guidelines to model developments and instructing the modelling department.
  • Develop data queries and dashboards to prepare recurring as well as ad hoc reporting and analysis, ensuring high data quality and accurate information to support the department, Group Risk, and other stakeholders.
  • Understand business needs and regulatory requirements and translate these into analytical requirements and sound, well performing and compliant models.
  • Develop recommendations based on the performed analysis and effectively communicate results to the business in both written and verbal form.

What we are looking for:

  • Minimum of 5 years of work experience in quantitative analysis within risk modelling in banking and finance.
  • Quantitative academic education (Master's Degree or PhD) in a relevant field, like econometrics, mathematics, actuarial studies or physics.
  • Extensive experience in quantitative financial modeling; model development, CRCU function and/or model validation.
  • Excellent understanding on regulatory requirements regarding internal models for credit risk - internal ratings based approach (IRB) and IFRS9 - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines.
  • Excellent skills in software packages for statistical and data analysis, such as Python and R and experience with extracting data from various databases and analyzing large data sets for conversion into useful business information
  • Excellent communication skills (verbal and written) in English
  • Able to work independently and under pressure

This is what you can expect

  • A tailor made salary package (based on knowledge & experience)
  • 13th month & holiday allowance
  • Individual performance bonus
  • More than 25 days off (excluding public holidays)
  • An additional budget which you can use for:
    • Extra time off
    • Extra study budget
    • Extra salary
  • An excellent pension scheme

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