Regulatory Model Management Specialist

At a glance

We need you!

ABN AMRO is a leading Dutch bank, with an international presence across Europe. As part of our Credit Risk Control Unit (CRCU), we are looking for a skilled Regulatory Model Management Specialist (RMM)who has a solid (quantitative) risk management background complemented with a thorough understanding of the regulatory requirements underlying the capital calculation for credit risk. The CRCU is responsible for the design, implementation and oversight of the rating systems in line with requirements from Article 190 from CRR.

Your job

As a regulatory model management specialist you will translate the banks business strategy into the model landscape. You provide advice on the design or selection, implementation, oversight and performance of the model landscape, in the context of current implemented (A)IRB models, permanent partial use (PPU) of standardised approach, roll-out decisions and future Basel IV requirements. Furthermore, the team is also responsible to maintain the quality of the IRB credit risk (CR) models and the banks related processes, procedures, and systems. In this role, you will participate in the quality assurance assessments of model (re)developments or model monitoring projects among other activities.

In your day-to-day job you will work in multidisciplinary project teams. You closely work together with modellers, policy department and the business in order to ensure that the model landscape properly reflects the regulation, the business practices and processes. This means being (actively) involved in stakeholder management of both internal and external parties including the DNB and ECB. You are capable of providing advice to the relevant stakeholders with advice on IRB CR models, roll-out related issues and interpretation of regulation.

You enjoy the challenge of performing quantitative, financial and non-financial analyses. You are able to provide a clear and proper explanation of relevant regulations and internal policies. Your reliable advice and decision-making forms the basis for optimizing the quality of the credit risk model strategy. You communicate clearly and transparently, both orally and in writing. It is expected that you continue developing your knowledge and skills and be able to coach your junior colleagues who will be supporting you.

Working environment

The Regulatory Model Management department is a new team which is being extended covering the tasks of the Credit Risk Control Unit (CRCU). RMM is part of the Risk Data and Analytics department which plays a key role in ensuring that the bank makes informed, data driven decisions. The main focus is the development, implementation and maintenance of our regulatory models. These models are key to the existence of the bank as they form the basis for loan approval, pricing, performance management and regulatory capital.

Your profile

• Minimum of 4 years of work experience in credit risk management, policy and framework development or regulatory reporting; or
• Minimum of 4 years of work experience in quantitative analysis within risk modelling or model validation in banking and finance
• Academic education in a relevant field, like econometrics, mathematics, actuarial studies, risk management or finance
• Exceptional understanding on regulatory requirements regarding capital requirements for credit risk - internal ratings based approach (IRB) and the standardized approach (SA) - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines.
• Be able to perform, amongst others, impact assessments of changes in capital requirements – risk weighted assets (RWA) – in for example SAS or Excel
• Substantive knowledge either in statistics, banking products, regulatory reporting or credit risk assessments
• Excellent communication skills (verbal and written) in English
• Able to work independently and under pressure
• Pro-active a can do mentality as well as collaborative attitude
• Team player and goal oriented profile

We are offering

Multicultural working environment with great colleagues from different nationalities

Challenging work on complex and advanced quantitative problems

Attractive package (depending on your level of seniority you are allocated to the according salary scale)

Flexible and fun working environment

Wide range of training opportunities

Career development and the possibility to gain experience in different areas of risk modelling, in other business areas of the bank, or in one of our international locations