Credit Risk Modeller

Job type:
on-site
Start date:
ASAP
Duration:
n.a
From:
Levy Associates Ltd
Location:
NL
Published at:
08/01/2020
Country:
flag_no Netherlands
Project ID:
1952520

Warning
This project has been archived and is not accepting more applications.
Browse open projects on our job board.

Our client is one of the fastest growing banks in the Netherlands and are currently looking for modellers to join their credit risk department. You can be part of an international environment and work in a dynamic team. Your team will be responsible for the remodelling of the credit risk department.

You will be required to:

  • Develop and maintain IFRS 9 and Internal Capital models
  • Collaborate with portfolio managers, risk officers, risk operations and IT to ensure the processes supporting the calculation of provisions.
  • You will be working with: Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models.

Who are we looking for?

  • 3+ years related work experience with credit risk models (PD/LGD/EAD)
  • Experienced around A-IRB (advanced internal ratings-based)
  • Experience creating models with SAS
  • Experience with communicating with the ECB is a plus
  • English Speaking
  • An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field;