Offer summary

Qualifications:

Master's degree in a quantitative area., Proficiency in Python and/or SQL programming., 1 to 3 years of relevant experience in credit risk within a financial institution (junior level)., Experience with Advanced IRB (A-IRB) for medior and senior levels..

Key responsibilities:

Perform validation tests and document results in validation reports.

Supervise junior team members and review validation outcomes.

Coordinate model validation activities and ensure timely completion.

Contribute to the periodic review of credit risk models and reporting to governance committees.

Job description

Vacancy Details

Role: Model Validator
Headcount: (8 people) 1 senior, 3 mediators, and 4 juniors
Main language: English, proficiency in Dutch is not required
Location: Utrecht
Type: Hybrid

The junior colleagues will perform the validation tests and document the results in the validation reports. Although the Mediator colleagues might also perform validation tests including reporting, they have in particular an important role in supervising the juniors, a comprehensive risk assessment, and reviewing the results/validation report. The Senior colleague is (end-)responsible for the coordination of the various models, prioritization, quality of the validation reports, meeting the timelines, stakeholder management, and supervision of the team where needed.

The junior candidates must have

A Mater's degree in a quantitative area.
Good programming skills in Python and/or SQL.
1 to 3 years of relevant work experience within a financial institution, preferably within credit risk.

The Medior candidates must have
A Master's degree in a quantitative area
Good programming skills in Python and/or SQL
Experience with Advanced IRB (A-IRB)
3 to 5 years of relevant work experience within credit risk within a financial institution as a modeler and/or (preferably) validator

The senior candidates must have
A Master's degree in a quantitative area
Experience with Advanced IRB (A-IRB)
Has 5 years of relevant work experience within credit risk within a financial institution as a modeler and/or (preferably) validator.
Good project and people management skills.

The goal of the project is to execute the periodic review of these models in line with the bank requirements resulting in a periodic review report to be submitted to Model Governance Committee. The submission of ECB validation reporting templates is part of the project. The validation scope is a subset of the basic testing procedure. Execute the periodic review project of Corporate IRB models used in Domestic Retail Banking and Wholesale & Rural as well as the IPRE (Income Producing Real Estate) model used in Domestic Retail Banking with a team of 3 mediors and 4 juniors (externals) and led by a senior.

The position requires bringing in an outside-in view to a validation team consisting of external staff. As a validator, the person should have a healthy critical attitude and good communication skills. During the execution phase presence is required. Earlier involvement in previous validation projects is appreciated.