Senior Modeller Stress Testing

Senior Modeller Stress Testing

Hands-on quantitative modelling, stakeholder management and supporting your colleagues, those are the key roles you play as a Senior Credit Risk Modeller. Take the lead in stress test modelling at a bank where people take center stage!

What you will do as a Senior Modeller Stress Testing

Leveraging your knowledge of risk management and modelling you develop and improve the Stress Testing model, which the bank uses to ensure it remains viable in even the most extreme circumstances. You ensure regulatory compliance and help meet demands of our changing society. An example? The consequences of the extreme drought or flood risk on the mortgage portfolio and our clients’ ability to pay.

You’ll be involved in every step of the risk model lifecycle, from methodology development, programming and testing the model, to implementation in the bank’s production system as a sound basis for reporting. To secure approval you’ll discuss the model and its outcomes with multiple stakeholders, such as the model owner, model validators, users, data owners and higher management.

You will be part of the model development team dedicated to the Stress Testing model. You’ll be working in close collaboration with your colleagues, with whom you discuss your modelling decisions, methodologies and ideas for improvement, while supporting the Model Owner.

This is where you will work

The Stress Testing model development team is part of the provision and stress test modelling department within the bank and if after some time you are ready for a new challenge you can move to another team to, for example, learn about credit risk or interest rate risk modelling. In the Risk organization, the modelling departments are part of the Quantitative Risk Management unit. In this business unit, the model change and model run teams are working together.

The Stress Testing model development team is a team of six people, eager to grow, learn from each other and take pride in a smoothly functioning model.

And of course, it’s not all work. We also enjoy each other’s company outside of work, for a celebratory drink after finishing an important part of work or playing a game to get to know each other better.

Your qualities

In your role as senior model developer, you can show your knowledge and experience on how to develop a stress test modelling which meets the complex regulatory requirements. You thrive on working in a team and supporting your colleagues, because together we can achieve the results that matter. Your eagerness to learn helps you continuously improve your skills and you are happy to share what you’ve learned. Putting your communication skills to good use, you excel in stakeholder management, convincing the model owner, users and validators of the value of our model.

As a senior, you understand what is important within your own team and for your stakeholders. If you see opportunities for improvement you do not hesitate to make them known. And when the team decides that they are indeed of high value, you take on responsibility for parts of those improvements.

You also have:

• A Master’s degree or PhD in econometrics, mathematics, physics or similar.
• Extensive experience in programming.
• At least eight years’ experience of working in the field of Stress Test modelling.
• An excellent command of English.

This is what you will get from us

• A 36-hour working week, to be flexible divided over the week, for example, 4x9;
• An individual choice budget, with which you choose when you receive your holiday allowance and 13th month;
• A good collective pension scheme;
• Working from home is quite normal with us;
• A personal training budget of €750,- per year, in addition to the standard training opportunities;
• A budget of €900,- every 5 years to furnish your home office;
• A NS Business Card and a reimbursement per km if you cycle to work;
• A bicycle plan to buy a bicycle;
• The opportunity to get partially paid for voluntary work;
• A vitality program with workshops and coaching for your mental and physical health;
• A laptop and mobile phone.

About us

We are working on a new future for de Volksbank, the company of the four bank brands: SNS, ASN Bank, RegioBank and BLG Wonen. We are bringing our brands together under one strong and familiar brand, ASN Bank, thus strengthening our organisation commercially and operationally. We are building a future-proof, strong bank committed to people and society.

“I like the combination of a supportive culture, and the opportunity to take on more responsibilities and grow.” Colleague

“Het is gaaf om te filosoferen over risico’s binnen de Volksbank en scenario’s om te zetten in concrete cijfers” Colleague