As a Model Validator, you will be part of the Model Validation team within the Risk Management and Controlling department, which is spread over Amsterdam and Berlin with 30 colleagues.
The Model Validation team is responsible for the maintenance of the validation framework, monitoring of model governance throughout the bank and performing validations of AIRB, IFRS9, application and Credit decision models, as well as other models in a growing model landscape. This includes both initial as well as ongoing validations.
Tasks:
* Validation of all aspects of risk models, including new developments, model changes and periodic validations
* Challenging data processing, statistical and business soundness of the model and model performance
* Deep-dive analyses of root causes of identified issues and assessing their impact on the model
* Development of challenger models
* Clear, precise and structured reporting of and defending the validation results
* Providing user feedback to improve the model risk framework, including the validation policies and procedures
* Participating in improvement initiatives such as automation of model testing and reporting
* Presentation of validation results to Model Risk Committee
* Maintaining knowledge of model risk and regulatory requirements and standards Classification: Public
* Ensuring the effective cooperation of the team across different locations
Qualifications:
* University qualification in a relevant subject (econometrics, statistics, quantitative finance, operations research), with knowledge of advanced statistical and analytical techniques. Capabilities
* A highly analytical approach to problem-solving
* (Credit) Risk modelling or validation experience in an EU institution
* Knowledge and understanding of requirements for risk modelling in banks
* Experience in the use of SAS, SQL, Python or similar languages/packages
* Solid knowledge of statistics and econometrics: modelling assumptions, model estimation, statistical model performance testing
