Vacature Credit risk model expert in Amsterdam

You have impact!
Do you want your work to have an impact on financial stability and on the banking sector´s ability to support to sustainable growth? As a credit risk model expert at DNB you can do so by leveraging on your quantitative knowledge, (inter)personal skills and practical experience in a stimulating and professional environment, thus ensuring effective supervision in a rapidly evolving area. Your contributions will include the participation in impactful assessments of internal models as well as the gathering and effective use expertise on advanced techniques and methodologies.

This is how to do that as a credit model expert at DNB
You will conduct inspections of credit risk models according to the advanced internal rating based approach (AIRB) at the banks premises; additionally you will deliver state of the art analyses in the areas of internal models and quantitative credit risk management; you may also be involved in occasional off-site model assessments and benchmark studies as well as the development of analytical tooling and assessment methodology; this may include the application of advanced data science techniques. 

What will you be doing exactly?
Your main responsibilities as a model expert will include:

• Conducting inspections on AIRB models at different banks as a member of a team of experts.
• Drawing sharp conclusions, reporting and presenting your findings to the bank’s (senior) management.
• Performing thorough analyses, conducting benchmarking studies and developing analytical tooling and assessment methodology, either at DNB or in international working groups.
• Expanding and actively sharing your specialist expertise within DNB and the European Single Supervisory Mechanism (SSM).

This is where you will be working
You will be based at DNB premises in Amsterdam. You will be working at the On Site and Banking Expertise Division (OSBE), which conducts on-site inspections and provides expertise in all relevant areas of financial and non-financial risks, employs 86 professionals with various backgrounds and nationalities and consists of 7 departments. The vacancies are in the Internal Model Department (15 staff).

The inspections that you will be involved in are project-based thorough assessments of specific risks, models and/or controls of the targeted banks. The project team composition may vary per inspection; inspections are to a large extent coordinated - and increasingly conducted - on a European rather than a national level.

In your role as expert you might be asked to join international working groups on specific parts of the regulation or supervisory manual with regard to AIRB model aspects. 

This combination of roles and responsibilities means the job is varied and offers great potential for expanding your knowledge and experience as a quantitative risk professional in terms of both substance and skills.

What will you contribute?
At DNB you will work with experts of a high professional standard. Against this background we are looking for candidates with strong analytical skills, an independent mind and a sharp judgement. Your project skills are well developed, you are pragmatic, able to prioritize and are result- and output oriented. You communicate effectively with both experts and non-experts, are able to hold your own in discussions and to translate diverging views into deeper insights. You are a team player with proven effectiveness in multidisciplinary and international teams. If you are applying for a senior role we would expect an excellent knowledge and significant experience in all main aspects of modelling and validating bank´s credit risk models, as well as a proven ability in managing multidisciplinary teams in challenging projects.
What else are we looking for?

• A Master degree in econometrics, mathematics or applied physics, quantitative economics/finance or other relevant subject fields that have an extensive analytical or quantitative component.
• A PhD in these fields would be considered a strong asset.
• Experience in the financial sector, preferably at a bank, rating agency or risk consultant (at least 3 years for a medior role and 7 years for a senior role)
• Excellent communication skills, both oral and in writing and both in Dutch and English
• Willingness and ability to occasionally participate in inspections abroad (SSM member states).

This is what we offer you
A 36-hour working week right at the heart of today's financial and economic current events. With a reliable and socially involved employer in Amsterdam, who constantly responds to the changing requirements of our environment. And that continuously innovates. As an institution, we are at the heart of society. Our people are driven and involved in their work within a social context. We see a diverse and inclusive work environment as one of the conditions for being successful as an organization and continuing to achieve our goals. This will offer you a wealth of opportunities to develop and gain new experiences, both in the Netherlands and abroad. You will initially be working on a one-year contract, with the prospect of an extension, provided you have performed well and our organisation has not undergone any changes that affect your job.

The other excellent terms and conditions of employment for this position are:

• A salary of at least € 3.200,-- and a maximum of € 6.200,-- gross per month, based on a 36-hour working week. Among other things, the final salary will depend on your expertise and experience.
• A 13th monthly salary, and an 8% holiday allowance calculated on your 13-month salary.
• Your pension entitlements will accrue under a career-average scheme including provisional indexation, with a 6.39% employee contribution.
• Full reimbursement of your public transport commute.
• Plenty of opportunities for professional and personal development through education and training.
• A healthy work-life balance. In this position, it is possible to divide your working week into 4 9-hour days.