Credit Risk Model Governance Specialist
This is where you will work
In this position you will have the opportunity to establish standards for the entire model life-cycle. You will assume responsibilities within the Credit Risk Control Unit (CRCU), collaborating with various essential stakeholders. Your expertise in model standards, methodologies, compliance and governance will be acknowledged and you will become the subject matter expert in these areas. Your primary objective will be to set model governance standards, guarantee the application of regulatory requirements and ensure that all activities adheres to internal and external policies.
This are your responsibilities
- Be responsible for developing, maintaining and continuously improving sound methodological and procedural frameworks for compliant credit risk models;
- Be a stakeholder in the development of the credit policies and are involved in quality assurance of the models which affect the modelling process, including assessment of regulatory compliance and application of methodologies and guidelines;
- Support the maintenance of the risk (PD, LGD, EAD, IFRS9) and compliance models;
- 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;
- Develop recommendations based on the performed analysis and effectively communicate results to the business in both written and verbal form.
This is you
- Good understanding of Risk Management principles and regulatory requirements regarding internal models for credit risk - internal ratings based approach (IRB) and IFRS9.
- Minimum of 3 years of work experience in quantitative analysis within risk modelling in banking and finance.
- Quantitative academic education in a relevant field, like econometrics, mathematics, actuarial studies or physics.
- Experience in quantitative financial modeling; model development, CRCU function and/or model validation.
- Strong knowledge of 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 and ability to write clear and logical comprehensive documents and instructions
- Able to work independently and under pressure
This is what you can expect
At our client you will find yourself in an inspiring working environment where there is plenty of room to set up your own initiatives. You work with an international scope. In addition, we also offer good working conditions. What we offer you:
- A tailor made salary (depending on knowledge and experience).
- Holiday allowance
- Travel Allowance
- A benefit budget
- 25 vacation days (excluding public holidays) with the option to buy more vacation days.
- An interesting performance structure
- Able to work hybrid