Medior Credit Risk Model Owner

Join ABN AMRO’s Model Strategy team within the Credit Risk Control Unit

We are looking for a new medior colleague to join our Model Strategy team within ABN AMRO’s Credit Risk Control Unit (CRCU) and Model Strategy department.

The team acts as model owner for Credit Risk models i.e. IRB, Non-IRB, IFRS9, EC models and Scorecards. We fulfil this responsibility by shaping the model strategy and coordinating and overseeing the full model life cycle. This includes defining model strategy, maintaining oversight of design, internal and regulatory approval, implementation, use, monitoring and decommissioning. The models support regulatory and economic capital calculations, provisioning, risk-based decision-making, portfolio management and a range of other downstream processes.

Your job

• Maintenance of the model strategy / return to compliance plans.
• Oversight of the life cycle of retail credit risk models (including IFRS 9 and stress testing) and EC models (across both retail and non-retail portfolios), as well as active participation in model development to ensure delivery in line with strategy and requirements.

This includes:

• Determining requirements for new models.
• Signing-off on model development, change and monitoring.
• Supporting model implementation.
• Addressing model deficiencies and findings.
• Overseeing and reporting on model use.
• Execution of model decommissioning.
• Reporting to senior management and key stakeholders.
• Coordination of activities with external vendor model providers.

Working environment

The CRCU and Model Strategy department consists of four teams, including two Model Strategy teams (i.e. Retail and EC Model Strategy & Non-Retail Model Strategy) and around 50 FTEs.

The two Model Strategy teams work closely with other colleagues in the CRCU and Model Strategy department, as well as with stakeholders such as Modelling Data, Risk Modelling, Model Validation, Model Implementation teams, Credit Risk teams, business lines, Internal/External Audit, and supervisory authorities such as DNB/ECB. You will collaborate with subject matter experts across these areas.

Within the CRCU and Model Strategy department, there is plenty of room to grow and develop. We value different perspectives, encourage fresh thinking and foster an open, informal atmosphere in which colleagues support one another.

Your profile

You are a strong fit for this role if you bring the following:

• PhD or MSc in a quantitative or relevant field
• 2 to 6 years of experience in a relevant role such as Credit Risk Management, Modelling or Model Validation
• The ability to switch between detailed analysis and broader strategic challenges
• Knowledge of the credit risk model-related regulation, including CRD/CRR and IFRS 9
• A solid understanding of credit risk model design, underlying data and how to explain these concepts clearly to stakeholders
• Excellent communication skills, particularly in writing, with fluency in English
• Confidence in stakeholder management and the ability to lead constructive discussions
• Curious, responsible, proactive, and able to take initiative

We are offering

• The opportunity to grow both personally and professionally in a flexible working environment
• A supplementary benefits budget of 11%, which you can use for additional employment benefits
• A personal development budget of EUR 1,000 per year
• An annual public transportation pass
• A solid pension plan