Experienced Model Validation Officer (remote from Romania)

Personal Skills & Qualifications

Required (incl. technical if applicable)

• At least 5 years’ experience in Model Validation
• Excellent academic background in a quantitative discipline
• Strong knowledge of statistics, econometrics, regression analysis
• Ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical modeling problems
• Good understanding of regulatory modelling framework (in accordance with CRR and relevant EBA RTSs)
• Strong understanding of IFRS9 provisioning
• Experience in statistical tools
• Strong SQL and database knowledge
• Track record of providing high-quality documents, including results of research, presentations for technical and non-technical audiences
• Proficiency in Office applications, particularly in Excel
• Proficient in both verbal as written English

Preferred (incl. technical if applicable)

• Master’s degree in Economics, Econometrics, Statistics, or Mathematics
• CFA, FRM or PRMIA certificate

Amsterdam is Credit Europe Bank’s global headquarters and is the center from where trade and commodity finance, project finance, marine ︁︀​︂︃︃​︁︂︇​︁︂︈finance and banking relations are offered to customers all over the world. Next to our HQ in the Netherlands, we have offices in Germany, Malta, Switzerland, Romania and Turkey. We have around 230 employees in NL.

For our Financial Risk Management Division located at our HQ in Amsterdam we are looking for a fully on remote colleague based in Romania.

Key Responsibilities

• Act as a subject matter expert on the data architecture of the PD and LGD models.
• Validation of wholesale credit risk models in cooperation with the other members of the development team within Risk Analytics unit, making sure the PD and LGD models are in compliance with IRB and IFRS 9 requirements.
• Validation of NMD models within the context of IRRBB.
• Ensures the model documentations are aligned with regulatory requirements and properly maintained.
• Being one of the contacts regarding Model Validation, facilitates communication between the development team and internal/external validation parties, so that the validation parties have a clear understanding of the models.
• In line with the Bank’s stress testing framework, supports the stress testing document to support the ICAAP process.
• Addresses ad hoc requests regarding credit risk analytics.
• Is always up to date about the regulatory updates regarding IRB and IFRS9 and informs the direct superior about the possible effects.
• Inspects and analyses the data recorded by the wholesale rating system and its utilization by the users with respect to the IRB related rules and regulations.

What we offer you

Market based salary, Quarterly per year business visits to our HQ in Amsterdam concerning e.g., training or workshops, business meetings where we compensate for flight tickets and hotel staying.

Interested?

Risk management is continuously gaining importance in the banking sector. Are you someone with an agile mind who values taking initiative and continuous personal growth within an environment of fast changing regulatory requirements and are used to work on remote then please apply or share this vacancy!