Credit Risk Modeller
Posted on Jul 31, 2020 by Levy Associates Ltd
Our client is one of the fastest growing banks in the Netherlands and are currently looking for modellers to join their credit risk department. You can be part of an international environment and work in a dynamic team. Your team will be responsible for the remodelling of the credit risk department.
You will be required to:
- Develop and maintain IFRS 9 and Internal Capital models
- Collaborate with portfolio managers, risk officers, risk operations and IT to ensure the processes supporting the calculation of provisions.
- You will be working with: Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models.
Who are we looking for?
- 3+ years related work experience with credit risk models (PD/LGD/EAD)
- Experienced around A-IRB (advanced internal ratings-based)
- Experience creating models with SAS
- Experience with communicating with the ECB is a plus
- English Speaking
- An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field;