Credit Risk Model Validator - Amsterdam

Employer
ABN AMRO Bank
Location
Amsterdam, Netherlands
Salary
Competitive
Posted
Jul 30, 2019
Closes
Aug 28, 2019
Ref
6218301
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
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 Model Validator is a member of the Credit Risk Model Validation team. The Model 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 validator forms an independent opinion on matters such as the mathematical consistency of the model, its suitability for its intended use, the accuracy of the model and its proposed implementation. 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. Depending on their experience the Model Validator levels I, II performs the activities to be described in this section with more or less help and guidance from a (Senior) Model Validator.

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 2 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 knowledge
  • Knowledge, understanding of and experience with
  1. Econmetrics and/or fundaments of Mathematical Finance, Statistical and Numerical Methods used in Quantitative Finance.
  2. Regulatry requirements for internal models for credit risk (Basel III/IV, CRR/CRD, EBA technical standards and guidelines);
  3. AIRB credit risk mdelling or validation;
  • Experience in handling, pre-processing and assessing the quality of (large) data sets.
  • Experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.
  • Working knowledge of MS Office programmes, in particular Word and Excel.
  • Knowledge of ABN AMRO's data landscape and business objectives is a plus.


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 Arjan Zwaan (arjan.zwaan@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.

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