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Senior Credit Risk Modeller (A-IRB) - Achmea

Locatie: Tilburg
We are looking for someone who is able to translate current and upcoming EU (e.g. CRD) and EBA requirements into compliant models and governance.

Over deze vacature
Achmea Bank has started a project to become Advanced IRB (AIRB) compliant within the next years. This ambition means a complete overhaul of model management within Achmea Bank. Both model design and model governance are improved over the next years.

For this transformation we are looking for a senior modeller with prior experience in model (re)design and development of PD, LGD & EAD AIRB models for retail portfolio’s in a Basel III context, preferably Dutch mortgages. We are looking for someone who is able to translate current and upcoming EU (e.g. CRD) and EBA requirements into compliant models and governance. This includes model design, documentation and prototyping the design (modelling in R) for model testing purposes and a smooth handover for implementation.

  • Responsible for the plan and execution of the model design of the PD, LGD and EAD models for AIRB
  • Part of the core project team of AIRB who are together responsible for the AIRB compliancy
  • Responsible for implementation specifications and prototype of the PD, LGD and EAD models for AIRB
  • First contact for Model Validation w.r.t. AIRB models
  • On the job training of junior and medior employees of Risk Modelling in (AIRB) modelling
  • Competence centre for the entire organization on AIRB related topics and model interpretation
  • Training of (Senior) Management on AIRB models

Jouw afdeling

Department Balance sheet management & Financial Risk

Achmea Bank is an entity within Achmea. Achmea is the largest insurance company within the Netherlands with brands like Interpolis, Centraal Beheer and Zilveren Kruis. Achmea Bank operates within Achmea to serve customers demand for savings products and mortgages. The brandnames used to do this are Centraal Beheer and Woonfonds Hypotheken.

Department Balance sheet management & Financial Risk
The department of Balance sheet management & Financial Risk (B&FR) operates as second line risk management within Achmea Bank. All financial risks are covered by this department such as (Liquidity, Interest Rate, Credit Risk and Capital Risk). B&FR reports directly to the CFRO and is next to being the 2nd line risk management an advisor for the entire organization. The department consists of approximately 15 professionals split over several teams all located in our Tilburg office. The team Risk Modelling is part of the department B&FR with an allocation of 4 professionals including team manager.
The culture within Achmea Bank is very open and friendly.
Jouw achtergrond

Wat jou uniek maakt als Senior Credit Risk Modeller (A-IRB)

You are:

  • An innovator and always looking for improvement
  • A great communicator and team player
  • An analytical problem solver
  • Organized 

Your baggage

  • A Master’s or PhD in a quantitative field (econometrics, mathematics, physics, AI or similar)
  • 5-10 years of relevant working experience
  • Prior experience with R, Python, Matlab, SQL (or similar)
  • Expert in AIRB regulatory applications or TRIM exercises

Kijk eens rond in Tilburg

Dit is achmea

Wat wij bieden

  • A lot of responsibility and room for own initiatives;
  • An  entrepreneurial international working environment;
  • Your location is in Tilburg;
  • A progressive employer with strong brands: Centraal Beheer, FBTO, Interpolis and Zilveren Kruis;
  • Of course we also offer a fixed year-end bonus and a good pension plan.

Informatie en sollicitatie:

Direct solliciteren:

Graag ontvangen wij je sollicitatie voor de vacature van Senior Credit Risk Modeller (A-IRB) bij Achmea in Tilburg inclusief CV via deze directe sollicitatielink.

Vacature geplaatst op

20 februari 2019
Direct Solliciteren

Meer informatie:

Wilco Blad
Corporate Recruiter
m. 06 830 941 10

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Argonweg 14
1362 AA Almere

Postbus 60184
1320 AE Almere

Tel: 036 - 7440 136

KvK 32090652
ING Bank NL91INGB065.42.67.456
BTW NL.8106.57.041.B01

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Nienke Smit   Pieter Lammers
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