Credit Risk Modeller in Tilburg

Achmea Bank has started a project to become Advanced IRB (AIRB) compliant within the next years. This ambition means a complete overhaul of model management within Achmea Bank. Both model design and model governance are improved over the next years for all Credit Risk Models.

For this transformation 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.. You will be translating current and upcoming EU (e.g. CRR) and EBA requirements into compliant models and model governance. 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 are the first contact for Model Validation w.r.t. Credit Risk models

Furthermore you will perform on the job training of junior and medior employees of Risk Modelling in (AIRB) modelling and also train (Senior) Management on AIRB models
 

You are

• An innovator and always looking for improvement
• A great communicator, you can express yourself well and also enjoy working within a team. You know how to involve your colleagues and team constructively
• An analytical problem solver. You analyze complex information, come to reasonable conclusions and are a creative problem solver
• Well organized, plan ahead but are also flexible when needed.

Your baggage

• 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)