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Senior Credit Risk Modelling (ICAAP/Stress testing)

  • Location:

    Utrecht

  • Sector:

    Aktuariat, Risk & Compliance

  • Job type:

    Permanent

  • Salary:

    Bespreekbaar

  • Contact:

    Bonanza Tan

  • Contact email:

    Bonanza.Tan@oliverjames.com

  • Job ref:

    JOB-012023-193083_1673966681

  • Published:

    23 Tage her

  • Expiry date:

    2023-02-16

Senior Credit Risk Modelling (ICAAP/Stress testing)


This is where you will work

You will be working in an international team of professionals that have a true passion for what they do. The decisions made in this team will impact the company at every level and they rely on the expertise of this dedicated team to make these decisions. Our client is an IRB bank with a unique combination of great opportunities, short reporting lines and broad responsibilities. They rely on dedicated teams of specialists, from data collection to modelling, validation to support. Collaboration is the way they can achieve their goals and ambitions, Together through diversity and inclusion they will become better at what they do.

Models in general and Model development are the backbone of their business. It will help them to create a stable, sustainable growth and to remain complaint with the latest rules and regulations.

This are your responsibilities

  • You will be responsible for developing, maintaining and continuously improving robust and reliable models, such as stress testing- and provisioning models.
  • You would be part of the team taking the decision on how on for which risk types they should be developing the economic capital model including model design, implementation, IT platform (Cloud), team composition, project management, stakeholder management, implementation
  • You would be part of the team steering the Stress test framework improvements to state of the art - alignment and up to date with Stress test ECB regulations and with the global stress testing framework
  • You will be paving the model development path for ESG and Climate Change related risks including model design, implementation, IT platform (Cloud), team composition, project management, stakeholder management, implementation
  • You would be part of the team automating and standardizing the process around stress test streaming it and making it efficient to run for diverse stress testing exercises
  • You will ensure that the models you developed are compliant with internal policies as well as external regulations (ECB, EBA, IFRS9).
  • You will work independently and as part of the team and reason the decisions taken throughout the modelling process.
  • You will safeguard correct implementation of models into the risk infrastructure systems, translating policies and models into technical requirements.
  • Substantiating modelling assumptions and assessing their impact on the model outcome, as well as increasing the understanding of a model's limitations and weaknesses are part of your responsibilities.
  • Developing recommendations based on the performed quantitative analysis and effectively communicating with the model stakeholders (Business, Model Validation, Senior Management, Internal Audit, et cetera) is also part of your responsibilities
  • You will translate new developments within the banking industry such as new regulation, industry best practices, academics and industry benchmarking exercises
  • You will support learning and development within the team (coach junior colleagues, prepare knowledge sharing sessions) as well outside of analytics (broaden the understanding of models and models outcome)

This is you

The work you do will impact your team, the bank, our stakeholders, internal and external, and, most importantly our clients. Their Model developers are proficient in Python and by using data mining tools are creating/reviewing models used to estimate and to stress-test the capital and provisions level worldwide for all portfolios.

It is important that you recognize yourself in the checklist below:

  • A PHD/Master's degree in Econometrics, Actuarial Science, Statistics, Mathematics or another quantitative discipline
  • Demonstrated experience with mathematics/statistics
  • Knowledge on Risk Adjusted Capital, RAROC, ROIC, all type of risks credit, market, liquidity
  • Knowledge on ESG and Climate Change risks
  • Experience with extracting data from various databases and analyzing large data sets for conversion into useful business information
  • Experience in executing quantitative analyses using statistical programs (Python ), reporting using standard database query language (Hyperion/SQL) and creating reports/dashboards (Excel-VBA, Power BI, Qlik).
  • more than 7 years professional experience in a comparable environment.

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. They take into account your home situation and your ambitions and help you to balance work and private life. Discover yourself their employment conditions:

To give you an idea, we will tell you about the benefits of working at our client:

  • An annual salary package (tailored to your personal knowledge & experience).
  • A bonus structure
  • An attractive pension scheme.
  • Flexible working hours and the opportunity to work from home.
  • 30 holiday days with a 40-hour working week, plus the option of buying 2 weeks of extra holiday days.
  • A range of education and training opportunities.
  • The option to join their collective health insurance.
  • A working from home allowance per home office day.

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