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Senior Non-Retail Credit Risk Modeller

  • Location:

    Amsterdam

  • Sector:

    Accountancy & Finance, Risk & Compliance

  • Job type:

    Permanent

  • Salary:

    Bespreekbaar

  • Contact:

    Tijn Paulusse

  • Contact email:

    Tijn.Paulusse@oliverjames.com

  • Job ref:

    JOB-112023-229208_1699293596

  • Published:

    8 Monate her

  • Expiry date:

    2023-12-06

Senior Non-Retail Credit Risk Modeller

This is where you will work

The Risk Modelling team of our client is a growing, international team of more than 150 professionals. They are the centre of excellence within the bank for developing quantitative risk models, which inform the bank in its daily decisions, from pricing of deals and granting of customer credits, through to setting and monitoring of market risk limits and determining the capital requirements for the bank.

As a modeller, you will play a key role in ensuring that the bank makes informed, modelled and data driven decisions. Your focus will be the development and maintenance of the Credit Risk models for non-retail clients covering over EUR 100 billion in exposure. Credit risk models are key to the existence of the bank as they form the basis for loan approval, pricing, performance management and regulatory capital.

Your role will involve work in multidisciplinary project teams. You will work closely together with the business lines in order to ensure that the models accurately reflect the business and underlying processes. You will employ quantitative methods and techniques to build models and unlock the intelligence contained within the data. You are aware of new and existing regulatory requirements, are able to form and defend regulatory interpretations and ensure that these are properly reflected in the models.

As a modeller you take responsibility within the model development process and are actively involved in stakeholder management.

Overall you will apply your quantitative skills, regulatory knowledge and experience to various challenges in order to make a positive impact for the bank and its customers. You will contribute significantly to the success of your team, which will include coaching of more junior team members and advising on regulatory processes.

This is what they expect

  • At least 4 years of work experience in quantitative analysis, preferably within risk modelling in banking and finance;
  • Required relevant experience in regulatory model developments and/or inspections;
  • Quantitative academic education (Master's Degree or PhD) in a relevant field;
  • Good knowledge of ECB guidelines on AIRB models and building AIRB credit risk models;
  • You have skills in software packages for statistical and data analysis, such as Python, SQL, R, and MATLAB;

We are offering

Your desire to value creation using risk data is very important for us . Our client is also keen to learn from your experiences of data value creation and model applications. You will be given the opportunity to further deepen your expertise and/or broaden your role, from data modelling to data delivery and from portfolio to data management related to regulatory change. There will be various growth opportunities in your area of expertise and also beyond, depending on your goals, interests and experience.

On top of that they offer:

  • A custom made annual salary (based on knowledge & experience);
  • An informal multicultural working environment with great colleagues;
  • Challenging work on complex and advanced quantitative problems;
  • A supplementary benefit budget which you can spend on flexible fringe benefits or use as addition to your salary;
  • Flexible working hours;
  • A wide range of training opportunities;
  • Career development and the possibility to gain experience in all areas of risk modelling, in other business areas of the bank, or in one of our international locations;
  • The opportunity to take the lead on elements of work, guiding junior team members and enabling successful delivery;

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