We are currently recruiting for a Senior Credit Risk Modeller for a leading International Bank in the Netherlands. he successful candidate will play a pivotal role in enhancing our risk management capabilities. You will lead the development of Internal Ratings-Based (IRB) models, ensuring their accuracy, compliance, and alignment with regulatory requirements. Additionally, you will have the opportunity to spearhead the development of IFRS 9 models, solidifying our position as an industry leader in risk assessment and financial reporting.
- Develop and validate IRB models to assess credit risk, ensuring compliance with regulatory standards and best practices.
- Lead the transition to IFRS 9 models, incorporating advanced methodologies to accurately forecast credit losses and meet reporting standards.
- Collaborate with cross-functional teams to gather and analyze data, identify trends, and derive actionable insights.
- Drive model enhancement initiatives, incorporating advancements in technology and analytical techniques.
- Stay updated on industry trends, regulatory changes, and emerging best practices in credit risk modelling.
- Mentor junior team members and provide technical guidance to foster a culture of continuous learning and development.
Qualifications and Experience:
- Master's or Ph.D. in a quantitative field such as Mathematics, Statistics, Finance, or Economics.
- Proven experience in developing and validating IRB models within the financial services sector.
- Strong proficiency in SAS for model development and analysis.
- Experience in Python is highly desirable and would be considered a significant asset.
- Solid understanding of regulatory requirements related to credit risk modelling (Basel III, IFRS 9, etc.).
- Excellent analytical, problem-solving, and communication skills.
- Ability to work effectively in a collaborative, fast-paced, and diverse international environment.