Senior Credit Risk Modeller

2 maanden geleden

Utrecht, Nederland de Volksbank Voltijd

Zo ziet jouw baan eruit


Hands-on quantitative modelling, stakeholder management and coaching junior colleagues, those are the key roles you play as a Senior Credit Risk Modeller. Take the lead in predictive modelling at a bank where people take centre stage

Leveraging your extensive knowledge of risk management and modelling you develop and improve the IFRS 9 credit risk models, which aim to make best-estimate predictions of credit losses to determine the amount of provisions for the bank. You ensure compliance and help meet demands of our changing society. An example? Incorporating the impact of climate risk into the credit risk models.

You’ll be involved in every step of the risk model lifecycle, from methodology development and programming a prototype, to implementation in the bank’s production system as a sound basis for reporting. To secure approval you’ll discuss the model and its outcomes with multiple stakeholders, such as the model owner, model validators, users, data owners and higher management.

You will be part of a scrum team dedicated to one of the IFRS 9 credit risk models. Within de Volksbank we have several IFRS 9 models, each focusing on a different loan portfolio. The retail mortgage portfolio is the largest portfolio of de Volksbank, but there are also smaller portfolios for which IFRS 9 models need to be developed, for example for small & medium enterprises, sustainable financing and consumer credit. The specific IFRS 9 model you will work on can change over time and depends on the modelling roadmap.

During the whole modelling process you’ll be working in close collaboration with your colleagues, with whom you discuss your modelling decisions, methodologies and ideas for improvement, while supporting the Product Owner in achieving the team’s mission.

Your home base
The IFRS 9 scrum team is only one of the modelling scrum teams within the bank and if after some time you are ready for a new challenge you can move to another team to for example learn about IRB or interest rate risk modelling. But before that you will already be meeting with modellers from other disciplines through for example the modelling guild gatherings. You will also work with (and learn from) the IFRS 9 Provisioning run team.

The total Modelling Cluster consists of more than 30 colleagues, who are all quantitative professionals sharing a drive to continuously improve our predictive risk models. The size of your scrum team depends on the specific IFRS 9 model you will work on and can range from 2 people for a small update to 10 people for a full redevelopment. As a scrum team you are eager to grow, learn from each other and take pride in a smoothly functioning model.

And of course it’s not all work. We also enjoy each other’s company outside of work, for a celebratory drink after finishing an important part of work or playing a game to get to know each other better.

Your competences
You thrive on working in a team and contributing to the development of your junior colleagues, because together we can achieve results that matter. Your eagerness to learn helps you continuously improve your skills and you are happy to share what you’ve learned with the team. Putting your communication skills to good use, you excel in stakeholder management, convincing the model owner, users, validators and external regulators of the value of our model.

As a senior you understand what is important within your own team and for your stakeholders. If you see opportunities for improvement you do not hesitate to make them known. And when the team decides that they are indeed of high value, you take on responsibility for those improvements. As a senior it is also expected that you are interested to take a leading role in (part of) the model development process where you guide junior colleagues, keep your Product Owner informed and proactively reach out to stakeholders.

You also have:

A Master’s degree or PhD in econometrics, mathematics, physics or similar. Extensive experience in programming (Matlab or Python preferred). Intimate knowledge of IFRS 9 regulation. At least five years’ experience of working in the field of risk modelling, preferably in credit risk. An excellent command of English.

What do we offer?
You’ll be working for de Volksbank, the parent company of SNS, ASN Bank, RegioBank and BLG Wonen. The gross annual salary for this position is between € 65.821 and € 101.264 (scale 11) based on 36 hours work week (including 13th month and holiday allowance). In addition, you can count on:

36-hour work week, for example 4x9, 32 hours can be discussed. An individual choice budget (IKB), you can choose when you receive your vacation allowance and thirteenth month. 208,8 holiday hours on full-time employment. Good collective pension plan. Good work-life balance and we are flexible in working from home. Personal training budget of 750 euros per year. You can save this amount up to 2250 euros. Every 5 years a budget of 900 euros to furnish your home office. NS Business Card and a compensation per km if you cycle to work. Bicycle plan to purchase a bicycle at a low cost. Partially paid voluntary work. Vitality program with workshops and coaching for your mental and physical health. Laptop and phone.

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