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Senior Credit Risk Model Validator - ABN AMRO Bank

Location: Amsterdam
Employment: Full-time
The Senior Model Validator has in-depth specialist knowledge of the broad range of models, methodologies, regulatory landscape and the business, as well as of the processes relevant to the area of expertise.

At a glance

ABN AMRO is on the trend of greater use of models. Driven in part by regulation but the growing reliance on models manifests in all areas of the bank. For risk management purposes ABN AMRO has models in place for a.o. credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet of the bank. The Model Validation team is the main party challenging the quality of the models in ABN AMRO. Do you enjoy an analytic job which makes a difference in the organization? Do you seek for a challenging and dynamic job with the opportunity of steep learning?

Your job

The Senior Model Validator is a member of the Credit Risk Model Validation team. The Senior Model Validator has in-depth specialist knowledge of the broad range of models, methodologies, regulatory landscape and the business, as well as of the processes relevant to the area of expertise.

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 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 validator forms an independent opinion on matters such as the mathematical consistency of the model, suitability for intended use, accuracy of the model and its proposed implementation. The findings of the validation are presented in a validation report which contains a recommendation towards the committee mandated to grant model approvals.   

The Senior Model Validator in this team has main tasks of:

  • performing high quality validations and reviewing validation work of other validators;
  • forming an independent expert view on the mathematical consistency, accuracy, and regulatory compliance of the models, suitability for the intended use and proposed implementation;
  • leading projects within the areas of expertise and contributing to projects outside the areas of expertise ;
  • coaching the Model Validator and Associate Model Validators;
  • communicating with internal and external stakeholders, i.e. regulator, external auditors;
  • acting as a delegate for the Team Lead Model Validation if required.

Having exposure to key internal and external stakeholders, it is important that the validator acts with confidence, communicates effectively and applies expertise for the benefit of the department as well as the wider organization.

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 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.

The Model Validation teams operate independently of the model development departments at ABN AMRO to ensure the objectivity of the validation process. It covers the model risk dimensions of data, methodology, implementation and use. The outcome of the validation process affects every level of the organisation – from individual client acceptance to strategic  decision making and steering.

The Credit Risk Model Validation team consists of specialists with diverse cultural background, academic and working experience. By working within Credit Risk Model Validation team you will be able to enjoy a dynamic and open environment which relies on flexible mindset, collaboration and discussion, and encourages taking initiative and responsibility.

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.
  • You work well in teams, have good communication skills and are capable to influence the stakeholders.

Specific knowledge

  • AIRB credit risk modelling or validation;
  • Regulatory 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 is a plus.

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 competitive salary and excellent benefits
  • A personal development budget of EUR 1.000 per year
  • A travel budget
  • A solid pension plan

Interested?

At ABN AMRO, we use our knowledge, expertise and network to help our clients within and outside the Netherlands achieve their goals based on responsible decisions. Our clients’ interests always come first. We want clients to understand our products, and we sometimes say ‘no’ if a product involves a risk that is too high for the client. Putting clients’ interests first also means communicating in plain language and crafting smart solutions that genuinely make a difference. That is our goal.

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.

Equal opportunities for all

The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.

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:
40623
Job posted
28 maart 2021
Apply Now
More information:
contactpersoon
Linkedin
 
Contact:
Maike Daub
Talent Acquisition Specialist
m. 06-15570444
E-mail

Read all about working at ABN AMRO Bank

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