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Financial Risk Modeller - Credit Risk - Market Risk

Posted on May 6, 2020 by Levy Associates Ltd

Amsterdam, Noord-Holland, Netherlands
IT
Immediate Start
Annual Salary
Contract/Project

We are looking for Financial Risk Modellers that have a strong affinity with model data. It is is an energetic international department of over more than 100 highly qualified professionals, who are determined to develop the best possible financial risk models to empower the customers to stay ahead financially, in life and business.

The expertise of the department lies in the development and management of all regulatory and non-regulatory Credit Risk, Market and Trading Risk, Operational Risk and Asset and Liability Management models with state-of-the-art modelling methods, tooling and data processing technologies. These models are core to the success and they are applied for different purposes, amongst others to determine the exposure measurement, capital adequacy and the management thereof.

The core task of the team is the development and maintenance of methodologies for the models in the scope of the department. These methodologies cover model development, model monitoring and model data gathering and consumption, and form the technical base for all work done in the department. The position offers excellent opportunities to broaden your model development, data management, and organizational skills within Financial Risk and other risk domains through collaboration with the other teams. Does it sound interesting? Please read on!

What you'll do

  • Together with your colleagues, you will play a crucial role in enabling the development and maintenance of models for measuring and managing risks, as well as guiding and advising model development colleagues
  • You will take responsibility for developing methodology based on best practices, academic research, and extensive analysis of the model-related regulatory frameworks, with applications in credit risk and market risk
  • Together with your colleagues, you will play a crucial role in the further development and maintenance of financial risk models, assuring compliant methods in line with all regulatory updates, as well as steering and advising the Front Office colleagues when taking Financial risk decisions
  • You will assist in the application and use of the models by means of support, trainings and presentations
  • You will help in setting up methodology related aspects in the scope of the team
  • You will define and implement bank-wide credit risk modelling methodology, with a specific focus on data consumption
  • You will support in delivering structural improvements in the data delivery process by eg improving the methodology for calculating derived data fields
  • You will set detailed requirements for data delivering stakeholders, support development and testing of automation tooling for model development and monitoring
  • You will communicate and cooperate with the key stakeholders
  • You will contribute with your expertise to regulatory and internal projects

How to succeed

  • MSc degree or PhD in eg mathematics, physics, econometrics
  • Experience with development of (credit) (risk) models
  • Excellent knowledge of statistics and/or mathematics
  • Excellent knowledge of programming, preferably in SAS Base, SAS Macro Language, SQL, VBA and Python
  • Experience with risk modelling and business tooling, specifically SAS EG, MS Access, MS Excel, SharePoint
  • Experience with (central) data gathering and processing
  • Knowledge of banking and financial industry, financial and lending products, and processes
  • Experience in being a sparring partner/advisor to senior management
  • You have strong analytical and problem-solving execution skills
  • You are an independent, creative and pro-active mind-set
  • You have organizational skills to work in a structured way and maintain focus on the broader picture
  • You have a focus on delivering pragmatic and feasible solutions
  • Fluent English language skills
  • You have skills to effectively communicate with stakeholders (with non-technical background)

Reference: 887005560

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