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Audit - Compliance - Risk - Legal

(Senior) Credit Risk Quantitative Modelling EN

  • Amsterdam
  • 40 hours
  • Master
  • Analytical thinking
  • Communication
  • Solutionminded

Your job

Van Lanschot Kempen is looking for a Quantitative Credit Risk Modeller to join the Quantitative Modelling team. This team is part of the Risk Management department and is responsible for the development and improvement of the quantitative credit risk models. The models you build and maintain are used for determining the provisioning (conform IFRS9) and the IRB solvency requirements (conform the CRR and CRD), and therefore play an important role at the core of the bank. These models are among others PD, LGD, EAD, Migration and Prepayment models. Doing this will require detailed knowledge of the data of our clients, modelling techniques, model monitoring and will also call for performing recalibrations, writing implementation specs, performing impact analyses for internal stakeholders, cooperation with the accountant and DNB, guiding the models through a validation cycle, etcetera. You will do this in a team with 6 highly qualified modellers / data specialists, closely aligned with a team of 3 credit risk experts.

 

Your experience

You are currently working for for 5 years in a similar role and are looking for a new challenge. We are a small bank thus your responsibility and impact will be far greater compared to the larger banks. You are eager to learn and adapt quickly to new situations. If you lack knowledge, your first reaction is to go out and get it.
You have:
• A quantitative academic education (with minimum of a Master’s degree) in econometrics, quantitative finance, mathematics, or another math intensive field;
• 5 years working experience in a quantitative modelling field;
• Sound knowledge of financial mathematics, probability theory, statistical modelling and/or econometric methods;
• Strong programming skills in R, MATLAB or Python, and preferably SQL;
• Affinity with financial products and banking;
• Capability to work under high pressure;
• An independent and pro-active mindset;
• Great team player skills;
• Good verbal and written communicative skills, preferably both in Dutch and English;
Nice to have’s:
• Knowledge of and experience with advanced topics such as Monte Carlo simulations, multifactor modelling and time series analysis;
• Experience with databases.

Our company

Van Lanschot Kempen is specialized in the future. Since 1737. Today, about 300 years later, our story - about the oldest independent financial institute in the Netherlands - continues. We are proud of our history and are excited for the future with labels such as Kempen (Merchant Bank & Asset Manager), Van Lanschot (Private Banking) and Evi (online investing). We do this with about 1,700 colleagues, divided over the 3 labels and the holding company. We have been working with great dedication and financial craftsmanship on our customers' progress for almost 3 centuries.

We offer Turning talent into value. That's what we do! The fact is, if you add value, you can obviously expect the same from us in return. Our employees are our most important asset, so they have countless opportunities to grow both as individuals and in their professional fields.

We offer

We offer you:

  • A salary that matches your knowledge, experience and background;
  • With a flexible budget (consisting of vacation pay, 13th month and 7 non-statutory vacation days) you can partly put together your secondary employment conditions with us. Think of extra leave, discover the world with a sabbatical, a subscription at the gym or a new bicycle; it's all possible.
  • A training costs scheme for personal and professional training opportunities.

Interested?

Do you have questions or do you want to have more information? Please contact Tanja Schraders via 06 11169152 or t.schraders@vanlanschotkempen.com.

Unlock your full potential

Let's talk!

Are you excited to take on this challenge with us? Contact us.

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