Do you want your work to have an impact on financial stability and on the banking sector’s ability to support sustainable growth? Do you want to work in a unique and challenging rol with on-site supervision? 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.
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 73 professionals with various backgrounds and nationalities and consists of 6 departments. The vacancies are in the Internal Model and Credit Risk 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.
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. 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 expertise within DNB and the European Single Supervisory Mechanism (SSM).
At DNB you will work with experts of a high professional standard. 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. For this senior position we would expect an excellent knowledge and significant experience in all main aspects of developing and validating bank´s credit risk models, as well as a proven ability in managing multidisciplinary teams in challenging projects.
- A Master degree in econometrics, mathematics or applied physics, quantitative economics/finance or another relevant subject field that has 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 7 years for a senior role)
- Excellent communication skills in English, both oral and in writing
- Willingness and ability to occasionally participate in inspections abroad (SSM member states).
A 36-hour working week right at the heart of today’s financial and economic current events. You will be working for a diverse, dependable and socially committed employer that always responds to the changing requirements of our environment and will never ceases to innovate. 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 healthy work-life balance.
- Plenty of opportunities for professional and personal development through education and training.
- 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 6.1% employee contribution.
- Full reimbursement of your public transport commute.
On top of all of this, you will be working right in the centre of Amsterdam, with excellent public transport connections. Depending on your position, you can also work from home part of the time, and we increasingly work according to agile methods.
Do you have any questions or would you appreciate an informal conversation about your career opportunities in regards to this or other relevant roles?
What we can do for you:
- You can make use of our extensive network and our strong reputation in and around the financial services sector;
- We have close relationships to our clients, meaning an optimal preparation for a successful application and interview process;
- A sparring partner to get clear what your needs and triggers are.
T +31(0)71 8700 273