We are looking for a credit risk modeler. Your main focus will be on model (re)design and development of AIRB models for several retail mortgage portfolios. This includes model design, documentation and prototyping the design (in R) for model testing purposes and a smooth handover for implementation.
• You are responsible for the plan and execution of the model design for all Credit Risk Models and in particular AIRB and IFRS 9 models
• You are responsible for a smooth hand-over to the model users via a proper prototype and knowledge sharing sessions
• You will plan and execute the sequential implementation of AIRB and IFRS9 models for our balance sheet transactions (e.g. the acquisition of a.s.r. bank)
• You have prior experience with AIRB regulatory applications or TRIM for a Dutch mortgage portfolio
• You have at least 5 years of relevant working experience
• You have a master’s or PhD in a quantitative field (econometrics, mathematics, physics, AI or similar)
• You are an expert in R, Python, Matlab, SQL (or similar)
Our client has a small team with growth ambitions which is responsible for the correct execution of the model lifecycle of the credit risk models for all mortgage portfolios. The team is responsible for the model design and periodic review phases and has an assisting role in the model implementation.
