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Senior Credit Risk Model Validator - ABN AMRO Bank

Locatie: Amsterdam
What do you see when you envision the next step? Work on achieving your goals and develop yourself professionally and personally. Tell us your story. We want to hear it!

At a glance
What do you see when you envision the next step? Work on achieving your goals and develop yourself professionally and personally. Tell us your story. We want to hear it!

Your job
The Senior Model Validator is a member of the Credit Risk Model Validation team as an expert model validator. The Senior Validator performs high quality validations mainly in the Credit Risk domain. These validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices.  The Senior Model Validator has in-depth specialist knowledge of the models used for risk management in the Credit Risk area, methodologies and the business using these, as well as of processes relevant to their area of expertise. The Senior Model Validator forms an independent expert view on the mathematical consistency of the models, their suitability for the intended use, the accuracy of the models and their proposed implementation. The Senior Model Validator has a coaching role towards the Model Validators and Associate Model Validators. In addition, the Senior Model Validator can act as a delegate for the Team Lead Model Validation.

Your working environment
The Model Risk Management department consists of four Model Validation teams (Innovation & Projects, Credit Risk Model Validation, ALM & Capital Model Validation and Valuation & Market Risk Model Validation) and one Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank. Validation is a powerful tool in model risk management and is a regulatory obligation. In this context, validation refers to the critical inspection of a model by a department separate from the one developing the model. The findings of the validation are presented in a validation report. Such a report will typically contain a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified. The Credit Risk Model Validation team validates the models employed for managing the credit risks associated with lending activities of the ABN AMRO Bank. The scope of this validation team includes a variety of AIRB models (PD, LGD, EAD), application and behavioural scorecard models for different product types and business lines. The validator in this team has a key role of:

  • assessing the quality of the data used for the development of the prototype model;
  • examining the correctness of the methodology and assumptions;
  • challenging the correctness of the implementation of the prototype model;
  • forming independent opinion on the model’s performance;
  • ensuring involvement of all the relevant parties in the development process;
  • assessing the compliance of the model with respect to internal and external regulations;
  • checking the final implementation of the model in the production environment;

The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analysing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties. The team creates high quality validation reports and provides them to the senior management as well as to other key stakeholders. The Credit Risk Model Validation team has a mandate to escalate the issues to the CRO of the bank.

Your profile

General

  • University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable.
  • At least 8 years of relevant work experience in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
  • Full professional proficiency of English, capable to influence internal stakeholders.

Specific knowledgeExpert knowledge, understanding of and experience with- AIRB credit risk mdelling or validation;
- Regulatry requirements for internal models for credit risk (Basel III/IV, CRR/CRD, EBA technical standards and guidelines);Econometrics and/or fundaments of Mathematical Finance,
- Statistical and Numerical Methods used in Quantitative Finance.Knowledge of the most recent developments in the field.- Advanced experience in handling, pre-processing and assessing the quality of (large) data sets.
- Advanced experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.
- Proficient knowledge of MS Office programmes, in particular Word and Excel.  
- Knowledge of ABN AMRO’s data landscape and business objectives.

What we offer

We are offering

  • The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
  • The opportunity to pro-actively work on your vitality and fitness
  • A supplementary benefit budget of 11%, which you can spend on additional fringe benefits
  • A personal development budget of EUR 1.000 per year
  • An annual public transportation pass or travel budget, depending on the function
  • A solid pension plan

Interested?
We are ongoing recruiting highly skilled people who can reinforce our team. We are happy receiving your application if you think you meet the recruitment criteria. The interview process consists of multiple interviews in which we focus on your experience, skills and knowledge. Besides that we are also interested to learn more about you; what thrives you, what do you consider as your qualities and area(s) of development. Please get in touch with Regina Egorova (regina.egorova@nl.abnamro.com, Team Lead) in case you like to learn more about the position and get in touch with Maike Daub (maike.daub@nl.abnamro.com, Recruiter) if you like to learn more about the interview process. 

Please only apply to one vacancy; the position that fits best with your experience, skills and knowledge.

Location:
Amsterdam

Information and application:

Apply:

Please send your application for Senior Credit Risk Model Validator at ABN AMRO Bank in Amsterdam including your CV via our website.

Job code:

22456

Job posted

12 november 2019
Apply Now

More information:

contactpersoon
Linkedin
 
Contact:
Maike Daub
Talent Acquisition Specialist
m. 06-15570444
E-mail

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