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Senior Credit Risk Modeller

  • Job type: Permanent
  • Location: Netherlands
  • Salary: Competitive
  • Job reference: JHED9
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 19/03/2018
Senior Credit risk Modeller 

A well-regarded investment bank based in the Netherlands are looking for a team lead  - Senior Credit risk Model developer to join their expanding team.This Candidate must have both the hands-on Credit risk model development experience (PD, LGD, EAD) and worked within a credit risk analytics/quant modelling team in delivering various projects. As this is a new function, there will be an opportunity to bring your own ideas and skills to the team therefore strong communications skills are key.  

The Model development and validation team are growing rapidly, therefore, there will be more chance for growth within this function and the opportunity to build out your own team. 

  • Work on credit risk model development and validation for models such as PD, LGD, EAD models
  • Work on wholesale portfolio models; exposure to receivables finance portfolio 
  • Work with Credit Risk analytics/quant modelling teams
  • Understand and improve the existing processes to gain efficiency
  • Use tools such as SAS, R, SQL, and Matlab to develop and validate quantitative models using large or small data sources
  • Deliver end solution maintaining high-quality standards and quick turnaround times

Required experience:
  • Hands-on experience developing and enhancing financial credit models
  • Advanced understanding of model development techniques for all credit risk model types (PD/LGD/EAD) 
  • Experience managing and developing team of modellers/validation specialists
  • Good understanding of AIRB and IFRS 9 modelling regulatory requirements
  • 6+ Years experience 
  • Experience using tools such as SAS & SQL 
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