Model Development

• Development of the capital models under Pillar 1 (PD, LGD, EAD, Rating);
• Development of the IFRS 9 model;
• Create model change calendar and manage model development projects;
• Develop model according to the internal development standards and in line with the model governance framework;
• Assess the compliancy of the model to the regulation and fill in the regulatory checklist;
• Assess the model risk and propose resolution to maintain the model risk within the model risk appetite;
• Estimate the impact of the model changes qualitative and quantitative;
• Peer review and quality assurance of developed models;
• Register and update the model in the model inventory.

Maintenance of Models

• Maintenance and 2nd line support of Pillar 1 + IFRS 9 models;
• Ensure timely resolution of model observations (validation finding or monitoring finding);
• Maintain the model standard for each model category (PD, LGD, Rating, IFRS 9);
• Ensure model validation findings are resolved within agreed timelines;
• Analyse the model monitoring reports and identify potential issues;
• Maintain model performance within the model risk appetite

The ideal candidate has the interpersonal skills necessary to manage and build relationships
across multiple departments. Collaboration, agility project management and decision making
are examples of key behaviours reflecting the agile culture.* Quantitative academic education in a relevant field, like econometrics, statistics, mathematics or physics;

• At least 5 years of work experience in developing IRB and/or IFRS 9 models;
• Certification Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA);
• Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus and/or machine learning;
• Experience in working with regulators (e.g. DNB or ECB) during model review sessions or on-site visits;
• Experienced in statistical languages (e.g. SAS, R) or modern programming languages (e.g. Python).