Vacature Credit risk model expert in Amsterdam

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 analytical and (inter)personal skills in a stimulating and professional environment. You will be at the centre of European banking supervision dynamics, and will supervise major Dutch banks. You will be part of an intercultural team of European supervisors, in a changing and challenging environment.

This is how to do that as a credit model expert at DNB

You will work within the Single Supervisory Mechanism (SSM), where together with your colleagues from the European Central Bank (ECB) and other euro area countries, you will exercise supervision over one of the Dutch systemically important banks. You will be part of the European Joint Supervisory Team (JST), an energetic team of international supervisors. Within the team you will be the specialist on credit risk models according to the advanced internal rating based approach (AIRB); additionally you will deliver state of the art analyses in the areas of internal models and quantitative credit risk management.

What exactly does the position entail?

Your main responsibilities as a model expert will include:

• You will supervise the bank’s multi-year credit risk model strategy, and assess this against the business model and the group structure of the bank, and continuous evolution of the regulatory framework;
• Assessing the bank’s applications for material credit risk model changes, by reviewing the methodology and model documentation, data quality, quantitative information and qualitative procedures. Subsequently, you will prepare a Supervisory Decision whether or not to approve the use of this model; 
• Verify an institution’s ongoing compliance with the regulatory requirements for internal models used to calculate the bank’s minimum capital requirements;
• You will have discussions with the bank's (senior) management and other staff members. You are capable of probing further to identify and understand the underlying challenges; 
• You contribute to DNB's digital ambitions, for example by closely monitoring innovative developments in the sector and responding to them in your supervisory activities.

This is where you will be working

As a credit risk modelling expert specialist, you will be based in Amsterdam. DNB is part of the Single Supervisory Mechanism (SSM), through which the ECB is ultimately responsible for supervision of all euro area banks. The ECB directly supervises the largest European banks, the Significant Institutions (SIs). Working for the SSM means that you will have to regularly travel abroad for training, on-site inspections and other activities. This will be a characteristic element of the job, together with an environment that offers you a good work-life balance.

You will work in the European Banks Supervision Division (EUBA), which is engaged in supervising Significant Institutions. You will be part of an international and intercultural team. Your colleagues are from different countries and comprise economists, legal experts, econometricians and IT specialists. The atmosphere is informal and amicable, and everybody understands the importance of cooperation.

This is what we need from you

At DNB you will be working together with dedicated professionals. You need to be decisive and have strong analytical skills. Our supervisors have an unparalleled ability to exert influence. You therefore should have highly effective powers of persuasion, you are good at maintaining professional relationships and have a clear communication style. You always remain critical, keep asking questions and can hold your ground in difficult discussions. Above all, you are a team player: you are at ease with sharing your knowledge and findings with your colleagues so as to ensure your team can perform better.

What else are we looking for?

• You hold a Master’s degree in economics, econometrics, finance or any other similar quantitative branch of study.
• You have a minimum of 3-7 years of professional experience in the field banking risk management and/or banking supervision. 
• You can establish and maintain contacts with relevant stakeholders and are at ease in a multicultural environment.
• You have experience in setting priorities and working under time pressure.
• You are able to work with datasets using various supervisory tools.
• You have an advanced (C1) command of English and an intermediate (B1) command of the Dutch language, according to the . If you have no command of Dutch yet, you should be willing to learn the language quickly.

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 € 5.400,-- 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.