Achmea Bank has the ambition to become Advanced IRB (AIRB) compliant within the next years. This means a complete overhaul of credit risk models and model management within Achmea Bank. The team Risk Modelling is responsible for this transformation. Over the next years Achmea Bank will work towards an integrated risk model framework where credit, liquidity and interest rate risk are all designed and implemented according to the same standards.
For this transformation we are looking for a modeller with prior experience in model (re)design and development of PD, LGD & EAD (AIRB) models for retail portfolio’s in a Basel III context, preferably Dutch mortgages. We are looking for someone who is able to translate current and upcoming EU (e.g. CRD) and EBA requirements into compliant models and governance. This includes model design, documentation and prototyping the design (e.g. in R) for model testing purposes and a smooth handover for implementation. Also, interaction with internal and external stakeholders is part of this position as well as training / coaching junior employees.
Tasks & Responsibilities
- Part of the core project team of AIRB who are together responsible for the AIRB compliancy
- Leading role in the development of other credit risk models
- On the job training of junior employees in risk modelling
- Competence centre for the entire organization on Model Development related topics and model interpretation
- Training of (Senior) Management on credit risk models