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 this transformation we are looking for a senior modeller with prior experience in model (re)design and development of PD, LGD & EAD AIRB models for retail portfolio’s in a Basel III context, preferably Dutch mortgages. We are looking for someone who is able to translate current and upcoming EU (e.g. CRD) and EBA requirements into compliant models and governance. This includes model design, documentation and prototyping the design (modelling in R) for model testing purposes and a smooth handover for implementation.
- Responsible for the plan and execution of the model design of the PD, LGD and EAD models for AIRB
- Part of the core project team of AIRB who are together responsible for the AIRB compliancy
- Responsible for implementation specifications and prototype of the PD, LGD and EAD models for AIRB
- First contact for Model Validation w.r.t. AIRB models
- On the job training of junior and medior employees of Risk Modelling in (AIRB) modelling
- Competence centre for the entire organization on AIRB related topics and model interpretation
- Training of (Senior) Management on AIRB models
- An innovator and always looking for improvement
- A great communicator and team player
- An analytical problem solver
- A Master’s or PhD in a quantitative field (econometrics, mathematics, physics, AI or similar)
- 5-10 years of relevant working experience
- Prior experience with R, Python, Matlab, SQL (or similar)
- Expert in AIRB regulatory applications or TRIM exercises
- A lot of responsibility and room for own initiatives;
- An entrepreneurial international working environment;
- Your location is in Tilburg;
- A progressive employer with strong brands: Centraal Beheer, FBTO, Interpolis and Zilveren Kruis;
- Of course we also offer a fixed year-end bonus and a good pension plan.
- Fulltime (startersfunctie)