(Senior) Credit Risk Model Developer (IFRS 9 or (A)-IRB)
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 we rely on the expertise of this dedicated team to make these decisions. My 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 model usage support. Collaboration is the way they can achieve our 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 the business. It will help them to create a stable, sustainable growth and to remain complaint with the latest regulations.
This is what you will do:
- You will be responsible for developing, maintaining, and continuously improving PD, LGD and other-type models
- You will ensure that the models you developed are compliant with internal policies as well as external regulations (ECB, EBA, IFRS9)
- You will work with data engineers and the business to establish requirements for the data collection activities for model re-development
- You will guide several junior and medior model developers and assure their work quality and adherence to the standards
- You will safeguard correct implementation of models into the risk infrastructure systems of the bank, translating policies and models into technical requirements
- You will document the models according to the regulatory standards
- You will lead model validation activities and liaise with the model validation team, as well as with other internal and external stakeholders (Data management, Business, Senior Management, Internal Audit, supervisory authorities)
- You will drive innovations within the model development team to bring the next generation of the IRB advanced models live.
This is who:
The work you do will impact your team, the company, the stakeholders, internal and external, and, most importantly our clients. Our Model developers are proficient and passionate professionals eager to bring to the next level of data and model maturity.
It is important that you recognize yourself in the checklist below:
- A Master's degree in Econometrics, Actuarial Science, Statistics, Mathematics, Data Science or another quantitative discipline
- Demonstrated experience with mathematics/statistics and data science
- Experience with extracting data from various databases and analyzing large data sets to extract useful business insights
- 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) and on the cloud platform (Microsoft Azure/Databricks)
- 5-10 years of professional experience in a comparable environment
- A project lead role experience in model development projects
This is what you can expect:
- A custom made annual salary (based on knowledge & experience)
- An additional budget what you can use for:
- Extra holidays
- Educational budget
- Extra salary
- A 13th month
- Holiday allowance
- Relocation budget (if applicable)
- A great pension scheme
- Various additional educational opportunities