At a glance
ABN AMRO is on the trend of greater use of models. Driven in part by regulation but the growing reliance on models manifests in all areas of the bank. For risk management purposes ABN AMRO has models in place for a.o. credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet of the bank. The Model Validation team is the main party challenging the quality of the models in ABN AMRO. Do you enjoy an analytic job which makes a difference in the organization? Do you seek for a challenging and dynamic job with the opportunity of steep learning?
The Model Validator is a member of the Credit Risk Model Validation team. The Credit Risk Model Validation team validates the models employed for managing the credit risks associated with lending activities of the ABN AMRO Bank. The scope of this validation team includes a variety of AIRB models (PD, LGD, EAD), application and behavioural scorecard models for different product types and business lines.
The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators could employ those for building challenger models as an alternative to the methods proposed by Modelling. By analysing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties.
The validator in this team has a key role of:
- assessing the quality of the data used for the development of the prototype model;
- examining the correctness of the methodology and assumptions;
- forming independent opinion on the model’s performance;
- assessing the compliance of the model with respect to internal and external regulations;
- checking the final implementation of the model in the production environment;
- Having exposure to key internal and external stakeholders, it is important that the validator acts with confidence, communicates effectively and applies expertise for the benefit of the department as well as the wider organization.
The validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices. The validator forms an independent opinion on matters such as the mathematical consistency of the model, its suitability for its intended use, the accuracy of the model and its proposed implementation. The findings of the validation are presented in a validation report. The report typically contains a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified. The Credit Risk Model Validation team has a mandate to escalate the issues to the CRO of the bank. Depending on their experience the Model Validator levels I, II performs the activities to be described in this section with more or less guidance from a Senior Model Validator.
The Model Risk Management department consists of four Model Validation teams (Innovation & Projects, Credit Risk Model Validation, ALM & Capital Model Validation and Valuation & Market Risk Model Validation) and Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank. Validation is a powerful tool in model risk management and is a regulatory obligation.
The Model Validation teams operate independently of the model development departments at ABN AMRO to ensure the objectivity of the validation process. It covers the model risk dimensions of data, methodology, implementation and use. The outcome of the validation process affects every level of the organisation – from individual client acceptance to strategic decision making and steering.
The Credit Risk Model Validation team consists of specialists with diverse cultural background, academic and working experience. By working within Credit Risk Model Validation team you will be able to enjoy a dynamic and open environment which relies on flexible mindset, collaboration and discussion, and encourages taking initiative and responsibility.
- University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable.
- At least 2 years of relevant work experience in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
- Full professional proficiency of English, both in writing and verbally
- You work well in teams, have good communication skills and are capable to influence internal stakeholders.
- Econometrics and/or fundaments of Mathematical Finance, Statistical and Numerical Methods used in Quantitative Finance.
- Regulatory requirements for internal models for credit risk (Basel III/IV, CRR/CRD, EBA technical standards and guidelines);
- AIRB credit risk modelling or validation;
- Experience in handling, pre-processing and assessing the quality of (large) data sets.
- Experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.
- Working knowledge of MS Office programmes, in particular Word and Excel.
- Knowledge of ABN AMRO’s data landscape and business objectives is a plus.
We are offering
- The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
- The opportunity to pro-actively work on your vitality and fitness
- A competative salary and excellent benefits
- A personal development budget of EUR 1.000 per year
- An annual public transportation pass or travel budget, depending on the function
- A solid pension plan
At ABN AMRO, we use our knowledge, expertise and network to help our clients within and outside the Netherlands achieve their goals based on responsible decisions. Our clients’ interests always come first. We want clients to understand our products, and we sometimes say ‘no’ if a product involves a risk that is too high for the client. Putting clients’ interests first also means communicating in plain language and crafting smart solutions that genuinely make a difference. That is our goal.
We are ongoing recruiting highly skilled people who can reinforce our team. We are happy receiving your application if you think you meet the recruitment criteria. The interview process consists of multiple interviews in which we focus on your experience, skills and knowledge. Besides that we are also interested to learn more about you; what thrives you, what do you consider as your qualities and area(s) of development. Please get in touch with Regina Egorova (firstname.lastname@example.org, Team Lead) in case you like to learn more about the position and get in touch with Robert van den Boogaard (email@example.com, Recruiter) if you like to learn more about the interview process.
Please only apply to one vacancy; the position that fits best with your experience, skills and knowledge.
Equal opportunities for all
The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.
Disclaimer external recruitment agencies
External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. In addition, a recruitment agency can only submit a resume when invited by a Talent Acquisition Specialist to join the search for a right candidate. All unsolicited resumes sent to us will be considered property of ABN AMRO BANK N.V. In this case, ABN AMRO will not be held liable to pay a placement fee.