Senior Credit Risk Model Owner

At a glance

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

The team acts as model owner for Retail and EC 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.

As a senior model owner, you are able to handle multiple requests at the same time, guide junior and medior colleagues, and provide direction and clarity in complex situations. You bring oversight, challenge and judgement throughout the model life cycle, helping the CRCU and Model Strategy department maintain effective oversight over ABN AMRO’s credit risk model landscape.

Your job

• Drive and continuously refine model strategy, including return-to-compliance plans and longer-term improvements to the model landscape.
• 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 as model owner during 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
• Coordinating activities with external vendor model providers
• Coaching junior and medior colleagues, supporting their professional development and contributing to knowledge sharing, onboarding and capability building within the team.

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
• More than 7 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
• Experience in coaching junior and medior colleagues and contributing to team development.

We assess candidates based on their individual strengths and the value they add to the skills, knowledge and diversity of the team.

We are offering

• Full-time position (36–40 hours) with competitive salary
• The opportunity to grow both personally and professionally in a flexible working environment
• Pay scale 11-12, depending on your experience and our assessment
• 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

Interested?

Interested in this position? Please send us your application! For more information, you can contact Mahsa Vahabi via email at [email protected] or Mireia Gozalbo Querol via email at [email protected]. We look forward to hearing from you!

Employment agencies are kindly asked not to respond to this vacancy.

Applications can be submitted until Friday, August 21 (inclusive).

Your Future: Inclusive, Innovative, Sustainable

At ABN AMRO, we believe in "Banking for better, for generations to come." Equal opportunities for everyone are a crucial foundation, as we strive for an inclusive culture where all employees feel seen, heard, and valued. Our vision of being a personal bank in the digital age aligns perfectly with the demand for surprising insights and innovative solutions, born from a diverse interplay of cultures and experiences. We focus on customer experience, sustainability, and building a future-proof bank, conducting annual reviews to ensure equal pay for equal work. Join a bank that embraces ingenuity and ambition, and make an impact with us for a better future.