Model Validator (Credit Risk)- Amsterdam, Netherlands
Posted on Mar 20, 2020 by Gazelle Global Consulting
Gazelle Global is proud to present these Model Validator positions with one of the biggest banks in Netherlands.
My client is looking for high potential medior and senior candidates to strengthen the Credit Risk Team who are an energetic international team of highly qualified professionals within the Model Risk Management department. This fast growing team is responsible for validating the risk models used worldwide.
Your model scope is broad and includes:
- Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models
- Credit Economic Capital model (INCAP) and the concentration Risk Framework; and
- Stress Testing framework.
In addition, the team has the ambition to expend the scope to non-regulatory models such as underwriting models, pricing, early-warning systems. These models are used for measuring and managing Credit Risk. In particular, the models in scope are used for calculations of the Loan Loss Provisions (IFRS9) as well as the Economic and the Regulatory (Basel II) Capital.
Experience required to be considered:
- An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field;
- A minimum of 2-5 years related work experience with credit risk models (PD/LGD/EAD)
- Extensive knowledge in modelling/validation in either A-IRB or IFRS9
- Programming experience in SAS or another similar programming language.
In return for your services you will be given a fantastic financial and benefits package!
Apply for immediate consideration