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Risk Modeller - Pillar 1 - via Michael Page Risk & Compliance

Location: Amsterdam
Employment: Full-time

The Model Developer Pillar 1 works in a team on the development, implementation and monitoring of regulatory and business models. The role is also supporting the risk department by analysing data in order detect portfolio trends which cause significant changes in the capital or are not within the risk appetite.
  • Broad role looking after all risk models | Dynamic international organization

About our client:

A global leader in it's field.

Tasks and responsibilities:

Model Development
* Development of the capital models under Pillar 1 (PD, LGD, EAD, Rating);
* Development of the IFRS 9 model;
* Create model change calendar and manage model development projects;
* Develop model according to the internal development standards and in line with the model governance framework;
* Assess the compliancy of the model to the regulation and fill in the regulatory checklist;
* Assess the model risk and propose resolution to maintain the model risk within the model risk appetite;
* Estimate the impact of the model changes qualitative and quantitative;
* Peer review and quality assurance of developed models;
* Register and update the model in the model inventory.

Maintenance of Models
* Maintenance and 2nd line support of Pillar 1 + IFRS 9 models;
* Ensure timely resolution of model observations (validation finding or monitoring finding);
* Maintain the model standard for each model category (PD, LGD, Rating, IFRS 9);
* Ensure model validation findings are resolved within agreed timelines;
* Analyse the model monitoring reports and identify potential issues;
* Maintain model performance within the model risk appetite

Profile:

The ideal candidate has the interpersonal skills necessary to manage and build relationships
across multiple departments. Collaboration, agility project management and decision making
are examples of key behaviours reflecting the agile culture.* Quantitative academic education in a relevant field, like econometrics, statistics, mathematics or physics;
* At least 5 years of work experience in developing IRB and/or IFRS 9 models;
* Certification Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA);
* Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus and/or machine learning;
* Experience in working with regulators (e.g. DNB or ECB) during model review sessions or on-site visits;
* Experienced in statistical languages (e.g. SAS, R) or modern programming languages (e.g. Python).

Our Offer:

- A competitive remuneration package, the chance to help mature Risk Management.

Location:
Amsterdam

Information and application:

Apply:

To fulfil this vacancy this organization is working together with Michael Page Risk & Compliance.

Please send your application for Risk Modeller - Pillar 1 at this organization in Amsterdam including your CV via our website.

Job code:
JN-122021-4557714
Job posted
20 december 2021
Apply Now
More information:
contactpersoon
Linkedin
 
Contact:
Rogier Jansen
t. +31 6 2298 4783
E-mail
Wil je deze vacature delen met je netwerk?
Contactgegevens

CareerGuide

Transistorstraat 7
1322 CJ 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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