Quantitative Credit Risk Manager in Utrecht

Do you know how to design statistical models based on the latest European banking regulations? And also share our beliefs in improving financial and environmental sustainability? Then let’s discuss this position!

As Quantitative Credit Risk Manager you will be part of the Credit Risk Control Unit (CRCU) of de Volksbank. You will be engaged in the development and monitoring of IRB and IFRS 9 models for credit risk. You will have expert knowledge of the CRR and the IFRS 9 Standard as well as their corresponding related regulations and be able to apply this knowledge to statistical models, data infrastructure and banking processes.

Job description
You will be engaged in the various CRCU responsibilities for the IRB / IFRS 9 models of de Volksbank:

• Interpretation of CRR and IFRS9 regulations and translating these into policies, requirements and activities for the bank
• Actively engaging in model development and its application
• Monitoring regulatory compliancy and closing of deficiencies
• Monitoring data quality of the Application Data Set
• Monitoring model performance, portfolio developments and conservatism levels
• Contacts with JST and EY and responsibility to lead review or development projects

Education and Experience

• An MSc Degree with a quantitative background (for example Econometrics or Mathematics)
• Working experience with quantitative financial modelling
• Working experience with European banking regulation and supervision

Personal Competences

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 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.