Quantative credit risk analyst & model expert

Do you have experience with working in project teams, affinity with credit risk models, extensive knowledge of data landscapes and relevant experience in the financial sector? We might be looking for you to join our team!

The Credit Portfolio Management unit (part of Corporate Banking) uses advanced credit risk models for risk assessment, business steering and regulatory capital calculation. The Data & Model Management team is responsible for these advanced credit risk models on behalf of the client facing colleagues. Currently, the landscape is undergoing a lot of changes to make models compliant with new regulations. Models are being redeveloped and reviewed in multi-disciplinary teams involving resources from various departments.

Do you appreciate the importance of high quality models based on reliable data? Are you keen to bring the models and underlying data to a structurally higher level? Are you able to bring worlds of model use and regulatory guidelines together? If so, then the role of quantitative credit risk analyst & model expert would be an interesting job for you! You will operate at operational, tactical and strategic level and you will make data-driven decisions and/or advise senior management. You will translate data to information, information to insights, and insights to actionable improvement! Each step will ensure you use and develop different skills.

The role will give you the chance to develop yourself, both professionally and personally. Why not get in touch? We’d be interested to hear more about you!

You will make a vital contribution to redevelop credit risk models in compliance with regulations and to ensure the availability and quality of the underlying data, both for model redevelopments and for model reviews.
You will use your curiosity, experience, knowledge and skills to work with Modelling, the Risk Data & Modelling grid, and Corporate Data Office to meet the specified goals within agreed timelines. You will involve experts from respective CB sectors where relevant. With these experts you will participate in a number of multi-disciplinary teams for the models in scope. Activities include the assessment of data requirements, data definitions, checks against regulations and business needs, and participation in frequent modelling workshops. You will be the business representative towards Modelling department. Next to that you will work on various Business as Usual topics throughout the credit life cycle, as well as perform deep dive analyses on the credit portfolio.

Given the importance the regulatory authorities ascribe to risk management (modelling, external reports, internal audits) and the data underpinning it, this is a challenging and impactful role.

The Credit Portfolio Management team (CPM) consists of 66 experts, 5 expert leads and the Head of CPM, reflecting a diverse range of professional and personal backgrounds. The team is at the centre of CB’s capital efficient strategy, being responsible for capital allocation & pricing, data & model management, performance management & analytics, active portfolio steering and Program Lending Oversight.
You will work in Credit Portfolio Management as part of the Data & Model Management cluster with around 17 experts, who enjoy their job, create a fun working environment together and try to get better every day.

The Data & Model Management cluster is a knowledge centre of credit risk rating models used by CB. The Model Landscape is currently undergoing a lot of changes to comply with new regulations. Changes and developments in models are important because of implications on the RWA and CB’s performance.
You will closely cooperate with expert leads within CPM, commercial staff within CB Financing Solutions department, as well as on a regular basis with central functions such as Modelling, the Risk Data & Modelling grid, Corporate Data Office, Financial Restructuring & Recovery and other grids responsible for sourcing modelling data.

You have a proactive, hands-on and go-getter mentality. You live the 3 culture principles (Care, Collaboration, Courage) and carry these out towards your colleagues. You have a quantitative background and you know how to use numbers to tell a story. You have a drive to improve and innovate, and you can be creative in finding mechanisms that effectively control risks while remaining commercially acceptable. You’re energised by transferring your expertise to others and at the same time interested in what you can learn from colleagues with other forms of expertise. You are keen to actively contribute to further developing and improving the area you work in.

Do you recognize yourself? Check your profile:
• You have a positive mindset and willing to get your hands on solving structurally problems;
• You get energy from driving the change, making an impact and have an execution mind set;
• You have working knowledge of Basel/European regulation for capital/provision and affinity to achieve compliancy to them;
• You are knowledgeable in credit risk modelling & credit risk management;
• Experience with RAPID, KEM and other ABN AMRO systems such as CRAS or C-track is a plus;
• You have a quantitative background at an academic level (i.e. econometrics);
• 5-10 years of financial services or relevant work experience;
• You have excellent stakeholder management skills;
• You have an affinity and extensive professional experience with data, modelling and risk management;
• You are keen to broaden and deepen your knowledge of data, modelling, process and consultancy;
• You embrace the agile way of working, being teamwork-, innovation- and goal-orientated;
• You think it’s normal to challenge your stakeholders and get to the "question behind the question".

• The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professional;
• A large responsibility and the empowerment to do your job;
• Market-conform salary;
• Substantial education budget and a public transportation card;
• Required investments to boost your personal skills;
• The opportunity to pro-actively work on your vitality and fitness.

Are you interested in this position? Get in touch! Apply to the vacancy now, or contact Yulia Bondarouk, Expert Lead Data & Model Management CPM CB (06-3078 4609) ) or Akshay Jain (06-8403 2373). We look forward to it!

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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