Advanced Credit Risk Modelling Expert

2 dagen geleden


Amsterdam, Noord-Holland, Nederland ABN AMRO Bank Voltijd
Job Description

We are seeking a highly skilled Advanced Credit Risk Modelling Expert to join our team at ABN AMRO Bank.

About the Role

This challenging role involves translating the bank's business strategy into the model landscape. You will provide advice on the design or selection, implementation, oversight and performance of the model landscape, in the context of current implemented (A)IRB models, permanent partial use (PPU) of standardised approach, roll-out decisions and future Basel IV requirements.

Your Responsibilities
  • Participate in quality assurance assessments of model developments or model monitoring projects.
  • Closely work with modellers, policy department and the business to ensure that the model landscape properly reflects the regulation, the business practices and processes.
  • Be actively involved in stakeholder management of both internal and external parties including the DNB and ECB.
  • Provide advice to stakeholders on IRB CR models, roll-out related issues and interpretation of regulation.
About You

We are looking for someone with a strong academic background in a relevant field, such as econometrics, mathematics, actuarial studies, risk management or finance. You should have a minimum of 4 years of experience in credit risk management, policy and framework development or regulatory reporting; or quantitative analysis within risk modelling or model validation in banking and finance.

You must be able to perform impact assessments of changes in capital requirements – risk weighted assets (RWA) – in tools like SAS or Excel. Additionally, you should have substantive knowledge either in statistics, banking products, regulatory reporting or credit risk assessments.

Excellent communication skills in English are essential, as well as the ability to work independently and under pressure. A proactive and collaborative attitude is also crucial for this role.

About Our Offer

We offer a multicultural working environment with great colleagues from different nationalities. The salary for this position is around €80,000 - €120,000 per year, depending on your level of seniority. You will also receive a range of benefits, including flexible and fun working hours, wide-ranging training opportunities and career development possibilities.



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