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Audit - Compliance - Risk - Legal

Expert Credit Risk Quantitative Modelling

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

Your job

You are a modeler of credit risk. A complex interaction between clients, our company, the economy and other factors you have found to be relevant. The models you build and maintain are used for determining the provisioning (conform IFRS9) and the IRB solvency requirements (conform the CRR and CRD). For instance PD, LGD, EaD, Migration and Prepayment models. You will start with a focus on renewing the IFRS9 models and their monitoring. This will require assembling a model set, building the models, building the model monitoring, writing implementation specs, testing the implementation, impact analysis for internal stakeholders and the accountant, guiding the models through a validation cycle, etcetera. Next to the redevelopment the current models will require maintenance. For instance calculating the impact of a model failing a monitoring test. Or stepping in on an analysis needed on the IRB models.
You will do this in a team 5 modelers / data specialists closely aligned with a team of 3 credit risk experts.

Your experience

You have gained experience in the field of risk modelling, model monitoring and model implementation in your first job and are now ready for your second job to put that experience to use. You know the pitfalls which are common and feel confident you can recognize them. You are eager to learn and adapt to the new situation. If you lack knowledge your first reaction is to go out and get it.
You have:
1. A Masters (in Econometrics, General Economics, Finance, or another math intensive field);
2. 3 to 7 years work experience in risk modelling;
3. Good verbal and writing skills preferably both in Dutch and English (must);
4. Good programming skills (R knowledge is a pre, confidence in learning R is a must);
5. IFRS9 and CRR knowledge is a pre (confidence in learning about IFRS9 and CRR is a must)

Our company

Van Lanschot Kempen is a specialist independent wealth manager that focuses on maintaining and building assets for its clients. Our strength lies in the special, strong relationship that our established names Van Lanschot and Kempen have with institutional and private clients. We excel in private banking, asset management and merchant banking, and we distinguish ourselves in these areas with our personal attention, knowledge and experience. Van Lanschot Kempen is a listed company.

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 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?

If you are interested in this position, please submit your application through our website. If you have any additional questions, please contact Tanja Schraders at 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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