Vacature Credit risk model expert

  • Master, PhD
  • 36 uur
  • € 3.200 - € 6.200 bruto p.m.
  • Financieel risicomanagement
  • Werkervaring: Professional
  • Reageer uiterlijk 7 juli 2021
Solliciteer direct

Unique and challenging roles in the on-site supervision of quantitative credit risk applications in European banks as model expert at DNB. Several positions are available with different levels of seniority.

Jij hebt impact

You have 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 a credit risk model 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, thus ensuring effective supervision in a rapidly evolving area. Your contributions will include the participation in impactful assessments of internal models as well as the gathering and effective use expertise on advanced techniques and methodologies.

This is how to do that as a credit model expert at DNB
You will conduct inspections of credit risk models according to the advanced internal rating based approach (AIRB) at the banks premises; additionally you will deliver state of the art analyses in the areas of internal models and quantitative credit risk management; 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; this may include the application of advanced data science techniques. 

What will you be doing exactly?
Your main responsibilities as a model expert will include:

  • Conducting inspections on AIRB models at different banks as a member of a team of experts.
  • Drawing sharp conclusions, reporting and presenting your findings to the bank’s (senior) management.
  • Performing thorough analyses, conducting benchmarking studies and developing analytical tooling and assessment methodology, either at DNB or in international working groups.
  • Expanding and actively sharing your specialist expertise within DNB and the European Single Supervisory Mechanism (SSM).

Hier doe je dat

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 86 professionals with various backgrounds and nationalities and consists of 7 departments. The vacancies are in the Internal Model Department (15 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.

In your role as expert you might be asked to join 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.

Dit breng je mee

What will you contribute?
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 mind 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. If you are applying for a senior role we would expect an excellent knowledge and significant experience in all main aspects of modelling and validating bank´s credit risk models, as well as a proven ability in managing multidisciplinary teams in challenging projects.
What else are we looking for?

  • A Master degree in econometrics, mathematics or applied physics, quantitative economics/finance or other relevant subject fields that have an extensive analytical or quantitative component.
  • A PhD in these fields would be considered a strong asset.
  • Experience in the financial sector, preferably at a bank, rating agency or risk consultant (at least 3 years for a medior role and 7 years for a senior role)
  • Excellent communication skills, both oral and in writing and both in Dutch and English
  • Willingness and ability to occasionally participate in inspections abroad (SSM member states).

Dit bieden we je

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. 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:

  • A salary of at least € 3.200,-- and a maximum of € 6.200,-- gross per month, based on a 36-hour working week. Among other things, the final salary will depend on your expertise and experience.
  • A 13th monthly salary, and an 8% holiday allowance calculated on your 13-month salary.
  • Your pension entitlements will accrue under a career-average scheme including provisional indexation, with a 6.39% employee contribution.
  • Full reimbursement of your public transport commute.
  • Plenty of opportunities for professional and personal development through education and training.
  • A healthy work-life balance. In this position, it is possible to divide your working week into 4 9-hour days.

Zo solliciteer je bij DNB

01 - Verstuur je sollicitatie

Na het versturen van je sollicitatie ontvang je direct een ontvangstbevestiging per e-mail. Binnen twee weken ontvang je een inhoudelijke reactie op je sollicitatie.

02 - E-assessment

Voor de meeste vacatures vragen wij je om een online assessment te maken voorafgaand aan het eerste gesprek. Het assessment bestaat uit cognitieve testen en/of een persoonlijkheidsvragenlijst, en kun je gewoon thuis uitvoeren.

03 - Eerste gesprek

Tijdens dit gesprek leren we elkaar beter kennen. Dit gesprek vindt meestal plaats met de manager of een ervaren teamlid van de afdeling waar jouw vacature uitstaat en een recruiter.

04 - Tweede gesprek

Wanneer zowel jij als wij positief zijn na het eerste gesprek zien we je graag nogmaals terug. Bij dit vervolggesprek zijn meestal een andere manager uit dezelfde divisie en een (senior) teamlid van de afdeling waar jouw vacature uitstaat aanwezig.

05 - Casus, derde gesprek en/of assessment

Solliciteer je op een functie als toezichthouder of beleidsmedewerker? Dan wordt het eerste of het tweede gesprek vaak gecombineerd met het maken van een schrijfopdracht of een case study. Dit hoor je uiteraard ruim van tevoren. Afhankelijk van het niveau van de functie kan er nog een derde gesprek met de divisiedirecteur en/of een functiegericht (extern) assessment plaatsvinden.

06 - Arbeidsvoorwaardengesprek

Past DNB bij jou? En ben jij de juiste persoon voor de functie? Dan doet de recruiter je een contractaanbod tijdens het arbeidsvoorwaardengesprek. DNB valt als overheidswerkgever onder de Wet normalisering rechtspositie ambtenaren (Wnra). Dit bekent dat medewerkers van DNB de ambtenarenstatus krijgen. Dit wordt tijdens het arbeidsvoorwaardengesprek toegelicht. 

07 - Screening

Na de arbeidsvoorwaardelijke overeenstemming volgt een screening. Het specifieke screeningsprofiel vind je terug in de vacaturetekst. Hier kun je meer informatie vinden over de screening.

08 - Welkom bij DNB

Na het ondertekenen van je contract heten wij je van harte welkom bij DNB! Dit doen we met een introductieprogramma, waarin je kennismaakt met onze organisatie en je nieuwe collega’s. Het interactieve programma bestaat onder andere uit twee introductiedagen. 

Solliciteer nu!

Apply now!
If working with an impact as a credit risk model exper appeals to you, then don't wait but send us your job application straight away! Please send us your motivation letter and full CV by 7 July 2021 at the latest. If you have any questions before you apply? Below are our contact details, we are happy to tell you more!

The selection procedure includes an e-assessment and a case study. For the judicial screening, this position is divided into profile 2a, more information about the screening can be found on the page Over ons > Sollicitatieproces (information only available in Dutch).

The purpose of this vacancy is application, not acquisition.

  • Master, PhD
  • 36 uur
  • € 3.200 - € 6.200 bruto p.m.
  • Financieel risicomanagement
  • Werkervaring: Professional
  • Reageer uiterlijk 7 juli 2021
Solliciteer direct

Heb je nog vragen over deze vacature?

Tom van Veen

hiring manager

Martin Avans

recruiter

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