Credit Risk Model Owner - CER Initiatives

At a glance

We are looking for an additional colleague in the Model Ownership team in ABN AMRO’s Model Ownership & RWA Oversight department (MO&R). Within the MO&R our Model Ownership team is responsible for the oversight of the use, implementation and quality of pillar I credit risk models and economic capital credit risk models. Moreover, the team is starting the oversight of the Climate and Environmental Risk (CER) in the model in its scope. The team is comprising of two sub-teams, focusing on program lending (“Retail”) and non-program lending (“Non-Retail”) portfolios respectively. You will be working on one of the Non-Retail team, with a focus on CER projects.

Your job

You have the opportunity to join the Model Ownership team. The team facilitates all necessary activities for Credit Risk Models, including CER aspects, accepting accountability and ensuring the model lifecycle is properly followed. The team is accountable for Pilar I and economic capital credit risk models, including their CER implications; keeps oversight on the design, key decisions, internal and regulatory approval, implementation, use, monitoring and decommissioning of the Credit Risk Models under its mandate. The models owned are used for regulatory and economic capital calculation, risk based decision making, portfolio management, pricing, CER assessment and multiple other uses. During the entire model life cycle you are responsible for the oversight of these models, while depending on the phase of the life cycle your role will either lean towards formulating opinions on the quality of models, initiating discussions on necessary changes, or reporting on the state of affairs of the models. You will help Credit Risk in its role to keep oversight and control on the entire credit risk balance of ABN AMRO.

Although, you will be a team player and contribute in a broader capacity to all models under scope, you have the opportunity to become the expert on Climate and Environmental Risk (CER) topics. You are to be the spearhead on several novel CER related initiatives while also helping the team to increase knowledge and train other team members on CER matters.

Working environment

The MO&R department comprises of three teams and a total of approximately 25 FTE’s, focusing on the ownership of pillar I and economic capital credit risk models and ensuring the correct estimation and oversight of RWA. MO&R is part of the Credit Risk division, which forms the 2nd Line of Defense of credit risk management.

The Model Ownership team works closely with the departments responsible for developing and maintaining models (Modelling Data, Risk Modelling, Regulatory Model Management, Model Validation), implementing the models (several GRIDs), the business lines using the models deployed and supervising authorities such as internal Audit and DNB/ECB. To ensure the set-up of a proper model landscape, the execution of a sound model life cycle process and the appropriate use of the models, you will work closely with several subject matter experts from other departments including Modelling, Model Validation, Model Risk Management, IT, Operational Risk Management & Control The team creates aggregated reports on Credit Risk model related matters and shares these with senior management (MT Credit Risk, Group Risk Committee (GRC)/Methodology Acceptance Group (MAG)) and ECB, as well as with other key stakeholders.

Within the MODM department, professionals can grow and develop further. Since the department is in building-up phase, it is appreciated when you actively contribute to improving the way of working. Different views are valued and respected, and it is encouraged to provide a new perspective. The atmosphere is open and informal and we are willing to help each other.

Your profile

You are a great candidate to become our new colleague, if you meet the following description:

• Do you have an academic education in a relevant field?
• Are you a fast thinker that can work on detailed questions as well as overarching challenges?
• Do you have 2-10 years working experience in a relevant position?
• Are you knowledgeable in the context of the CRD/CRR framework?
• Do you have sufficient knowledge of credit risk model related regulations?
• Do you have sufficient knowledge of Climate and Environmental Risk within the finance industry?
• Are able to explain the main concepts of credit risk model design including underlying data and their application to stakeholders?
• Do you have excellent communications skills, especially in writing? (fluency in English is required)
• Are looking forward to stakeholder management discussions?
• Do you show pro-activity and can you steer discussions?

We will evaluate candidates based on their individual qualities and their added value to the skills, knowledge and diversity of the team.

We are offering

• The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
• A salary in pay scale 10 to 12, depending on your experience and on our assessment of your expertise and qualifications
• A personal development budget of EUR 1.000 per year
• An annual public transportation pass
• A solid pension plan