Senior Modeler Credit Risk Models

Do you have experience in quantitative modelling within credit risk banking and ready for a new challenge? Apply now for the role of Senior Credit Risk Modeler at de Volksbank!

Your role
Hands-on quantitative modelling, stakeholder management and coaching junior colleagues. Those are the key roles you play as a Senior Credit Risk Modeller. Take the lead in predictive modelling at a bank where people take centre stage!

Leveraging your intimate knowledge of risk management and modelling, you translate ever changing regulations into predictive models, which you improve continuously. Your models secure compliance and meet demands of our changing society. An example? The consequences of the prolonged pandemic on our clients’ ability to pay.

You’ll be involved in every step of the credit risk model lifecycle, from methodology development and programming in MATLAB, to implement the credit risk models in the banks production system as basis for reporting. The main models in scope are IRB PD, LGD and acceptance score cards. To secure internal and external approval and implementation, you’ll discuss the models with multiple stakeholders, such as the regulator, the model owner, model validator, users, data owners and higher management.

Working in a scrum team dedicated to regulatory capital models, you’re responsible for more than modelling. You’ll play an active role in coaching your more junior colleagues, with whom you discuss your modelling decisions. While supporting the Product Owner in achieving the team’s mission. And at De Volksbank, you continue to evolve and develop your own full potential, moving to other teams and roles depending on your ambitions and interests.

Your home base
You will join the nine-strong RegCap Models scrum team of the Modelling Cluster. Our other modelling scrum teams are responsible for IFRS modelling and Balance Sheet modelling. All teams work closely to secure the bank’s predictive risk modelling capabilities, and join forces when larger model changes are taking place. Your 20+ colleagues are all quantitative professionals sharing a drive to continuously improve our predictive risk models. People matter to us, which is reflected in our working environment. Because banking with a human touch requires people who enjoy going to work and are truly committed!

Your competences
You thrive on working in teams and contributing to the development of your junior colleagues. Because together you achieve results that matter. While your eagerness to learn helps you continuously improve your own skills too. Putting your communication skills to good use, you excel in stakeholder management, convincing regulators and internal users of the value of your models.

You also have:

• A Master’s degree or PhD in econometrics, mathematics, physics or similar.
• Intimate knowledge of MATLAB or comparable programming language.
• At least five years’ experience of working in the field of credit risk modelling. As a credit risk modeller, or by combining experience of risk modelling with related fields of expertise such as stress testing.
• Intimate knowledge of IRB regulation.
• An excellent command of English.

Apply now!

Upload your cover letter and CV using the application button. We’ll be in touch as soon as possible. Do you have any questions about the role? Ask Jasper Baalhuis at jasper.baalhuis@devolksbank.nl or Rasa Navakauskiene at rasa.navakauskiene@devolksbank.nl. For more information about the application procedure, please contact Marielle Jenneskens, recruiter, at marielle.jenneskens@devolksbank.nl.