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Internal model expert

Financieel risicomanagement
Werkervaring: Professional
€ 3.480 - € 6.650 bruto p.m.
Reageer uiterlijk 17 april 2023

Unique and challenging position for an internal model expert in the on-site banking supervision.

Jij hebt impact

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 sustainable growth? As an internal model expert at DNB you can do just that in a stimulating and professional environment. Your contribution to the (European) supervisory goals will consist of the participation in impactful assessments of regulatory internal models, with a primary focus on credit risk. 

This is what you will be doing as an internal model expert at DNB.

You will conduct inspections of credit risk models according to the advanced internal rating based approach (A-IRB) completely or partially at the banks premises. You will also deliver analyses and advice in the areas of internal models and quantitative credit risk management with a view to supporting DNB’s mandates in banking supervision and financial stability. Finally, 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. The latter may include the application of advanced data science techniques. 

Your main responsibilities as a model expert will include:

• Conducting inspections on A-IRB models at different banks as part of a team of experts.
• Drawing sharp conclusions, reporting and presenting your findings to the bank’s (senior) management.
• Performing through 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’s 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 vacancy in the Internal Model Department (20 staff).

The inspections that you will be involved in are project-based. 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 A-IRB model aspects. Next to this, you can help by using your programming skills to improve and automate our supervisory inspection tools, which range from custom programs to evaluate internal models to complex machine learning techniques to (for example) summarize documents and reports. 

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. In addition you will have the opportunity to access a wide range of training resources, including dedicated courses on key supervisory processes, data science and soft skills.

Dit breng je mee

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 know modelling, validating, and/or stress testing bank´s A-IRB credit risk models, and have experience in these activities.

 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 is considered a strong asset.
• At least 5 years of experience in a relevant role in banking supervision, the banking sector, a rating agency or risk consultant. More experience and/or SSM experience is considered an asset.
• Knowledge of modelling techniques like regression, clustering, simulation, survival analysis etc. along with statistical techniques like feature selection, hypothesis testing etc.
• Thorough understanding of applicable regulation and regulatory guidelines (including, but not limited to, the CRR and ECB Guide to Internal Models).
• Experience in programming in software packages for statistical and data analysis such as R/Python/SAS/Matlab and SQL for data querying is considered a strong asset.
• Excellent written and verbal communication skills in English and a willingness to learn Dutch as part of your onboarding at DNB.
• Willingness and ability to occasionally participate in inspections abroad (Eurozone).

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. Wondering how we do it and what our colleagues think about it? Read and watch more

. 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 € 3.480.-- and a maximum of € 6.650.-- 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, an 8% holiday allowance calculated on your 13-months’ salary and a freely disposable personal budget of 5.9% of your 12-months’ salary.
• Your pension entitlements will accrue under a career-average scheme including provisional indexation, with a 6.54% 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.

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