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Risk Model Engineer

Posted on Nov 19, 2019 by Gazelle Global Consulting

Utrecht, Netherlands
IT
Immediate Start
€40k - €65k Annual
Full-Time

My client is a prominent and highly regarded financial services organisation. They have an urgent requirement for Risk Model Engineers in Utrecht.

As a Risk Model Engineer you are the risk model expert within a multidisciplinary team that ensures high quality implementation of risk models and calculation engines in the professional IT environment. In this position you'll be the linking pin between developers of risk models and the IT organisation.

The main thrust of the role:

  • Based on your knowledge of the specific risk model specification you draft model data requirements for implementation of the data pipelines. This is done in close interaction with the risk model developers and with IT Data Business Analysts.

  • You participate in programming the risk model calculation functionality in Python, which is done in close cooperation with IT software engineers in an Agile way of working.

  • You contribute the team objective to standardise and optimise the implementation (process) of risk calculation engines across the various model areas (such as IFRS9, Basel IV, IRB Retail, IRB Corporate, ALM).

  • You connect the risk model domain to the IT domain and do feel comfortable in both contexts.

  • On a daily basis you work in a multidisciplinary Agile team dedicated to a particular risk model area. In this team you take full ownership of the backlog items assigned to you.

  • Making the team better is in your DNA.

    Collaboration is at the heart of everything my client does. Our Risk Model Engineering team brings talented people together to implement Rabobank's Credit Risk and ALM models at Group level. With you as a Risk Model Engineer, the team will include:

Monique Dijks Technical Lead Processes & Controls: "Working in the RME team is different every day. We are challenged on many topics such as IT, finance, statistics and regulations."

Customer focus, result driven, independent and substantiated judgments are clearly essential for a Risk Model Engineer.

In addition, it's important that you recognise everything in the checklist below:

  • You have a finished master degree or PhD in Econometrics, Applied Science or a related field;

  • You have at least 4-5 years of relevant working experience in a financial institution or a bank;

  • You have practical experience in developing credit risk models;

  • You have practical experience with the specification, design, and use of large-scale complex data files;

  • You have practical experience in extracting data requirements via stakeholder interviews and analysis of documentation;

  • You have practical experience in programming of calculation functionality (preferably in Python);

  • You have experience in Agile working with professional IT teams.

If you wish to apply for this role, please send me a CV for immediate consideration.

Reference: 797686007

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