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Credit Risk Modeler

Plaats: Nederland
Salaris: Bespreekbaar
Geplaatst: 10 dagen geleden
Contract Type: Permanent
Industrie: Risk
Contactpersoon: Chaymae Mhand Yamna
Email: Chaymae.MhandYamna@ojassociates.com

Credit Risk Modeler

Why would you want to work for the credit risk modelling activities within this bank?

The credit risk modeling activities with respect to mortgages currently take place within the Retail Banking Portfolio Management team. In the course of 2021 the intention is to centralise these credit risk modelling activities within the Modelling & Data Analytics team of Risk Management. In that department currently the corporate credit risk modelling activities take place. The Retail Banking Portfolio Management team as well as the Modelling & Data Analytics team provide an open, positive and challenging environment via a broad range of activities and projects. The teams are responsible for the regulatory retail and corporate credit risk models, bank-wide stress testing, PD and LGD IFRS9 models, counterparty credit risk modeling (incl. EE, PFE and CVA/DVA), and have a leading role in the ongoing bank-wide transformational change programs. Within both teams, you will have the opportunity to make an immediate impact by playing a pivotal role in the implementation of the future model landscape and the redevelopment of the corporate and retail IRB framework. You will have the opportunity to broaden your model development skills as well as closely collaborate with our commercial teams, other risk teams, Finance and IT.

What should you like and what will you do?

Modelling

* Co-lead the redevelopment of the IRB model framework

* (Re-) development of PD, LGD and EAD models for retail exposures (mortgages)

* Proactively initiate methodological updates in response to changes in regulations

* Proactive role in the hands-on data analysis * Knowledge sharing within the team and other stakeholders

Implementation

* Translating functional requirements into effective end-to-end solutions

* Implementing and operationalizing of risk models within the Matlab ecosystem

Communication

* Be part of the internal Methodology Advisory Group which is responsible for advising the Risk Management Committee on methodological developments

* Take part in the discussions with external stakeholders such as DNB, auditors and Global Credit Data

* Knowledgeable sparring partner for other teams with regards to credit risk modelling;

* Ongoing liaison with Retail Banking Portfolio Management, Finance, IT and other credit risk modelers

Boundary spanning

* Opportunities to take part in bank-wide projects that span over several knowledge domains and require effective communication at all organizational levels

* Help steer the bank in the challenging and dynamic regulatory environment

* Further modernize and optimize the credit risk modelling process

Who are we looking for?

* Our ideal candidate is a self-starter and a big picture thinker with attention to detail

* Preferably several years of credit risk modelling experience

* Experience with risk/regulatory projects, preferably within the credit risk modeling domain

* Matlab and/or Python programming skills

* Background in IFRS 9 modelling is preferable

* Good communication skills (English)

* A positive 'can do' mentality; no-nonsense approach/ getting things done efficiently/ making complex things easy to understand

What you will get?

* A role giving you exposure to various internal and external stakeholders where you will get as much responsibility as you can handle.

* Opportunity to make a difference and see the direct impact of your work. As a relatively smaller and dynamic firm, the bank allows you to not only deepen your expertise but also to have a good grip of the bigger picture.

* Be a member of a diverse international team where collaboration and teamwork are at the core

* A collegial environment where you can learn from the diverse experience of team members.

* In addition to excellent (financial) employment conditions you will have ample development opportunities. the bank is keen to help employees reach their full potential where you will be at the center of your own growth

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