The Credit Risk Model Validation Team is responsible for validating the risk models used by the bank worldwide. They assure that models are appropriate for the intended use and compliant with internal policies and external regulations. Their goal is to increase the Group's understanding of a model's limitations & weaknesses and contribute to the ongoing model improvement and ensure the added value of models.
As Credit Risk Model Validator, you will:
- Validating risk models, including performing quantitative analyses
- Creating high-quality validation reports that are read by e.g. senior management, CRO staff, audit, and ECB
- Participating in meetings with model developers, senior management, internal & external audit, and the European Central Bank
Your model scope is broad and includes:
- Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models
- Credit Economic Capital model (INCAP) and the concentration Risk Framework
- Stress Testing framework
- Non-regulatory models such as underwriting models or early-warning systems.
These models are used for measuring and managing Credit Risk within the Bank. In particular, the models in scope are used for calculations of the Loan Loss Provisions (IFRS9) as well as the Economic and the Regulatory (Basel II) Capital.
Ideally, you will have:
- An academic degree (MSc or Ph.D.) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field
- A minimum of 3 years related work experience with credit risk models (PD/LGD/EAD)
- Extensive knowledge in modeling/validation in either A-IRB or IFRS9
- Programming experience in SAS or another similar programming language
- A critical but positive constructive mind-set
- Excellent communication skills and ability to write clear reports in English.
