Credit Model Validator
36 hours a week -
Asap till 24-12-2021 -
Possible extension: Yes
Extra info: (2 senior, 2 medior, 4 junior needed)
We are looking for 2 Senior model validators in a hurry. The difference between junior, medior and senior are the differences in laws and regulations that one must know on a certain scale. The more senior, the more complex. Someone who is senior also needs to take the lead more, this is less expected from a junior.
The hired staff are requested to work on the regulatory required periodic review (PR) of the Corporates portfolio of Rabobank. The goal of the PR is to assess the functioning of the credit models that are used to quantify PDs, LGDs and EADs. The end deliverable is a validation report that is in alignment with external regulatory standards and internal model risk management standards. The report will serve to advise our senior management committee on the performance of the models. This report will also be submitted to the ECB together with the mandatory reporting templates will also need to be completed. Rabobank's office is gradually opening up as a working location again. The current rule is still that selected candidates will work from home (at least a lot) due to the covid-19 situation, and Rabobank will facilitate the home working. If necessary, remote onboarding is possible. Currently, it is uncertain how this will evolve due to covid-19 developments. Suitable candidates have a quantitative background with at least a MSc in e.g. mathematics, physics, econometrics, etc. They have experience with AIRB models and profound knowledge of applicable regulation. The tooling will be Python based. Experience with Python is thus also a prerequisite.
Sean Verhoef +31(0)20-3337629