We are looking for a Risk Model Developer to join a project of redevelopment of its IRB models for the residential mortgage portfolio to meet supervisory obligations and comply with new regulations, such as CRR3 and the ECB Guide on Climate and Environmental Risk. The internal Risk Modeling department seeks highly skilled professionals with extensive expertise in IRB model development for residential mortgages, applicable regulations, and the Dutch housing market. With their deep domain knowledge, these specialists will support the redevelopment of compliant IRB models.

Expected Deliverables

• A redeveloped IRB model (covering PD, LGD, CCF, ELBE, and LGD in-default) for the residential mortgage portfolio.
• Internal and supervisory approval of the redesigned model.
• Resolution of outstanding supervisory obligations tied to existing models.

Required Knowledge, Skills, and Competencies

• Expertise in IRB model development and the ability to establish new best practices.
• Familiarity with relevant IRB regulations, such as EBA GL/RTS related to the IRB Roadmap, ECB Guide to Internal Models, and CRR3.
• Strong communication skills, including the ability to deliver content-driven presentations, propose innovative solutions, and facilitate execution within the modelling team.
• Comprehensive understanding of the Dutch housing market and the mortgage products offered within it.
• Advanced programming capabilities, particularly within Python and Databricks environments.