Risk Modeler - PD Models

EXPERT RISK MODELLING/PD MODEL/PROBABILITY OF DEFAULT

Looking for an Expert Risk Modeller to work in an Agile/Scrum team responsible for the PD (probability of default) Models. This is a great opportunity where you can work for a global bank being part of an international team. The professionals in the Risk Modelling department have diverse international backgrounds and form a dynamic team. The team enjoys intellectual challenges and have a "roll up their sleeves" attitude to get the job done.

The whole modelling department consist of 80 people and the PD modelling team is 12 people. The Risk Modelling team consists of small, flexible, multi-skilled groups. This flexible structure enables resources to switch between groups and work on different projects and risk model types. Our client is also working with new technologies and innovation, such as machine learning, continuous calibration, automated monitoring, and continuous improvement and delivery of risk models

The work you will be doing and the quality of these models has a big impact on important areas such as the bank's risk profile, and its profit and loss

- Quantitative academic education (MSc, preferably with a PhD) in a relevant field, like econometrics, mathematics or physics;
- At least 6 years of work experience in quantitative analysis of which at least 3 years in risk modelling;
- Thorough knowledge of one or more risk model area;
- Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus or machine learning;
- Able to generate new ideas and to effectively communicate these ideas;
- Strong analytic skills;
- Highly experienced in modern programming languages (eg Matlab, Python) and statistical languages (eg SAS, R);
- Affinity with data analytics, (pre)processing, and data handling;
- Experience with machine learning/advanced analytics techniques is an advantage;
- Able to work under high pressure;
- Excellent team player with the ability to coach junior modellers;
- Advanced interpersonal and communicative skills;
- Well versed in English, both written and spoken.