Unique and challenging position for an internal senior credit risk model expert in the on-site banking supervision at DNB.
You will have an impact
Do you want your work to have an impact on financial stability and on the banking sector´s ability to support to sustainable growth? As an internal models expert at DNB you can do so by leveraging on your quantitative knowledge, (inter)personal skills and practical experience in a stimulating and professional environment. Your contribution to the (European) supervisory goals will include the participation in impactful assessments of regulatory internal models with a main focus on credit risk. You will also be expected to provide expert advice on credit modelling, advanced quantitative techniques and supervisory methodology.
This is what you will be doing as a senior credit risk model expert at DNB
You will conduct inspections of credit risk models according to the advanced internal rating based approach (AIRB) completely or partially at the banks premises; additionally you will deliver analyses and advice in the areas of internal models and quantitative credit risk management with a view to supporting DNB’s roles in banking supervision and financial stability; you may also be involved in occasional off-site model assessments and benchmark studies as well as the development of analytical tooling and assessment methodology, both within DNB and/or in collaboration with European colleagues; this may include the application of advanced data science techniques.
Your main responsibilities as a model expert will include:
This is where you will be working
You will be based at DNB premises in Amsterdam. You will be working at the On Site and Banking Expertise Division (OSBE), which conducts on-site inspections and provides expertise in all relevant areas of financial and non-financial risks, employs around 100 professionals with various backgrounds and nationalities and consists of 7 departments. The vacancies are in the Internal Model Department (19 staff).
The inspections that you will be involved in are project-based thorough assessments of specific risks,
models and/or controls of the targeted banks. The project team composition may vary per inspection; inspections are to a large extent coordinated - and increasingly conducted - on a European rather than a national level. Depending on their seniority, model experts may also expected to assume coordinating roles in the model investigations.
In your role as expert you may be asked to join internal and international working groups on specific parts of the regulation or supervisory manual with regard to AIRB model aspects.
This combination of roles and responsibilities means the job is varied and offers great potential for expanding your knowledge and experience as a quantitative risk professional in terms of both substance and skills.
This is what we need from you
At DNB you will work with experts of a high professional standard. Against this background we are looking for candidates with strong analytical skills, an independent mindset and a sharp judgement. Your project skills are well developed, you are pragmatic, able to prioritize and are result- and output oriented. You communicate effectively with both experts and non-experts, are able to hold your own in discussions and to translate diverging views into deeper insights. You are a team player with proven effectiveness in multidisciplinary and international teams. We expect you to have an significant knowledge and experience in modelling and validating bank´s credit risk models; proven ability in managing multidisciplinary teams in challenging projects would be considered a strong asset.
What else are we looking for?
This is what we offer you
A 36-hour working week right at the heart of today's financial and economic current events. With a reliable and socially involved employer in Amsterdam, who constantly responds to the changing requirements of our environment. And that continuously innovates. As an institution, we are at the heart of society. Our people are driven and involved in their work within a social context. We see a diverse and inclusive work environment as one of the conditions for being successful as an organization and continuing to achieve our goals. Wondering how we do it and what our colleagues think about it? Read and watch more here.
This will offer you a wealth of opportunities to develop and gain new experiences, both in the Netherlands and abroad. You will initially be working on a one-year contract, with the prospect of an extension, provided you have performed well and our organisation has not undergone any changes that affect your job.
The other excellent terms and conditions of employment for this position are:
If working with an impact as a senior credit risk model expert appeals to you, then don't wait but send us your job application straight away! Please send us your motivation letter and full cv no later than January 8th 2023.
Would you like to get to know us a little better? Watch the videos and testimonials from colleagues here and listen to our podcasts. Do you have any questions before you apply? Below are our contact details, we are happy to tell you more!
The selection procedure includes also an e-assessment a case study. For the judicial screening, this position is divided into profile 2a. More information about the screening can be found on this page (information only available in Dutch).