Credit Risk Model Validator

ABN AMRO's strong reliance on models manifests itself in all areas of the bank. ABN AMRO has models in place for amongst others credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet of the bank. The credit risk models receive significant attention in organization due to changing regulatory environment, reviewed bank's business strategy and enhanced internal standards. The Credit Risk Model Validation team provides an independent challenge of the quality and fitness of the models employed for managing the credit risks associated with lending activities of the ABN AMRO Bank, including a variety of advanced IRB models (PD, LGD, EAD), application and behavioural scorecard models for different product types and business lines. The outcome of the validation process affects every level of the organisation – from individual client acceptance to strategic decision making and steering.

The Model Validator is a member of the Credit Risk Model Validation team. The Model Validator has a specialist knowledge of credit risk models, methodologies, regulations and business, as well as of the relevant processes. Having exposure to internal and external stakeholders, it is important that the Model Validator communicates effectively verbally and in writing, and applies expertise for the benefit of the department as well as the wider organization. The Model Validator has main tasks of:

• performing model validations including validations of newly developed credit risk models, model (landscape) changes and periodic validations
• preparation of comprehensive and complete validation reports
• assessing of the data set construction, data preprocessing and quality of the data used for modelling purposes
• participating in general projects and discussions concerning model validation framework, regulatory requirements, policies
• reviewing validation work of other validators and coaching more junior Model Validators
• communicating with stakeholders, i.e. regulator, auditors, management

The Credit Risk Model Validation team consists of 20-30 enthusiastic professionals with very 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, open collaboration and discussion, and encourages taking initiative and responsibility.

Our team is a part of the Model Risk Management department which consists of four Model Validation teams (Credit Risk, ALM & Capital, Innovation & Projects, and Valuation & Market Risk) and Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank.

General requirements

• University degree in a quantitative discipline, e.g. mathematics, physics, econometrics or similar, at least at Master level. A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates) is desirable
• Relevant work experience in a quantitative role in industry is preferred (e.g. modeller, model validator, quantitative risk manager, quantitative consultant) and/or in related research
• Knowledge of relevant regulatory landscape (Basel III/IV, CRR/CRD, EBA standards and guidelines)
• Experience with programming languages, e.g. Python, SAS, and their application in statistical analysis
• Full professional proficiency of English, good communication skills verbally and in writing
• You work well in teams

We are offering

• The opportunity to be the best you can be, work flexible hours and and lots of room to grow both personally and professionally
• Good facilities for flexible home working
• Competitive salary
• A supplementary benefit budget of 11%, which you can spend on additional fringe benefits
• Additional benefits such as personal development budget, market allowance (depending on scale), public transport budget, solid pension plan
• 5 weeks’ holiday per year and 5 ‘Banking for better days’, which you can spend on the development of yourself, someone else or society.

Are you interested? Then be sure to respond to this vacancy. For more information about position, contact Halldora Thorsdottir (halldora.thorsdottir@nl.abnamro.com, Credit Risk Model Validation)

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.

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. In addition, a recruitment agency can only submit a resume when invited by a Talent Acquisition Specialist to join the search for a right candidate. All unsolicited resumes sent to us will be considered property of ABN AMRO BANK N.V. In this case, ABN AMRO will not be held liable to pay a placement fee.

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