Junior quantitative credit risk manager

Are you interested in testing credit risk models, examining financial risk data or translating regulation related to the IRB rating system and IFRS9 models to internal standard? Are you a team player with a cooperative mindset? Do you want to be a linking pin between 1st and 2nd line of defence? Do you believe in the power of data? Please apply for this unique opportunity!

About the job
As Quantitative Credit Risk Manager you will be engaged in the various Credit Risk Control Unit (CRCU) responsibilities of de Volksbank. The CRCU is a department in the 2nd line of defense Expert Center Risk of de Volksbank, and responsible for “setting standards”, “monitoring”, “reporting” ,”advising” and “participating in improvement programs” related to the IRB rating system including IRB and IFRS9 models. The CRCU responsibilities consist of 3 main area’s:

• Monitoring regulatory compliance
• Monitoring model performance
• Monitoring data quality

As junior in our team, you will participate and learn in all 3 area’s. Depending on your background, talent, interest and our backlog, you will be able to specialize in one of the area’s.

Your responsibilities:

• Participation in the interpretation of CRR, ECB, EBA and IFRS9 regulations and translating these into requirements and standards for the IRB rating systems of de Volksbank.
• Monitoring regulatory compliancy and model performance and draft monitoring reports.
• As an expert you will participate in projects to close deficiencies and you are actively engaged in model development, review, implementation and application.
• You advise in the decision making process and review the quality of project deliverables
• Actively stimulating knowledge sharing between CRCU, model development and model validation related to the regulation
• Maintaining the backlog, setting priorities and dividing the tasks within the CRCU

Meet your colleagues
Ronald Krijkamp – Senior Quantitative credit risk manager:
As member of the CRCU you may define, for example, the internal definition of "facility" as "the set of mortgage accounts connected to a single obligor and a single financed property". You will be advising Modelling and IT teams to apply this definition for the next iteration of IRB models and monitor if the development is in line with the definition. After development you will directly explain to the JST team of ECB, Model Validation and perhaps Audit how "facility" has been applied within the IRB rating system of the bank and why this is compliant with the applicable regulations. Of course this is just one example of many regulatory IRB requirements.

Craig Dougherty – Senior Quantitative credit risk manager:

Having statistical models in place to manage the risk of the portfolio means having to know and report on how well those models function as the world around us changes. The model monitoring function of the CRCU focuses on assessing the performance of our statistical models – related to the Bank’s capital requirement, provisions, collateral valuations and credit acceptance activities. We achieve this by understanding the needs of the models; developing monitoring frameworks; implementing our designs; and then reporting on and providing expert advice to management and business partners concerning model performance and equirements. This, with the ultimate goal of continuously improving our ability to assess the credit risk of the portfolio.

About us
The CRCU is a team with highly skilled and enthusiastic colleagues. We help each other to be successful and value you as person. Everybody has her/his own talent and you are stimulated to use it as much as possible. There is room for team and personal development.
The lock down has been a challenging period for the whole world. As CRCU, we managed to keep in touch with everybody by means of digital coffee breaks, digital team events and mentorship for new joiners. We are working from the office again, but also appreciate the benefits from working at home. What makes working with the CRCU at de Volksbank in relation to other banks, is that, although of medium size, the bank is an IRB bank directly under ECB supervision. This means that you as IRB expert will be involved in all stages of the IRB development and application processes. The Volksbank has a warm and inclusive culture, colleagues are approachable and helpful. You may quickly have significant responsibilities, and therefore you will be able to make an impact to the organization.
The CRCU is an essential 2nd line risk function to secure the IRB status of de Volksbank. Agile and lean techniques are used in our current way of working in order to prepare for the formal change. The CRCU uses Agile and lean techniques are the current way of working.

Practical background and relevance
You are engaged in social and environmental improvement. You have a strong ability for problem solving and can distinguish between main and side topics. You are responsible and you take responsibility. You are proactive in involving relevant experts and accurate in following-up of mutual agreements. You are convincing and can express a critical message in a professional way. Your deliverables are timely, professional and have impact. You have good communication skills in both English and Dutch or the willingness to improve these language skills.

You have:

• An MSc Degree with a quantitative background (for example Econometrics, Physics or Mathematics);
• Affinity and/or 1-3 years working experience in quantitative financial modelling; model development, CRCU
• function and/or model validation;
• Affinity and/or 1-3 years working experience with data management in a financial institution;
• Programming, data management and data visualization skills;
• Knowledge of CRR related to the IRB rating system and IFRS 9 is a pré;
• Experience with Agile and lean techniques is seen as valuable.

Please note, it is important for this position that you have good command, both written and spoken, of the English language, as our professional output is in English for the CRCU, model development and model validation. But remark that a basis level (A2) in Dutch is necessary to participate in rest of the organization.

Interested?

If you recognize yourself in this role, we encourage you to apply for this position. At De Volksbank we embrace the diversity among our colleagues - we would love to get to know you!
Click on the application button and respond to this vacancy. Please leave your motivation and cv and we will contact you as soon as possible. Questions? You can contact Marielle Jenneskens, Corporate recruiter via marielle.jenneskens@devolksbank.nl.