Credit Risk Modeller - Retail Mortgage Loans - NIBC Bank N.V.

Summary: 

NIBC is looking for a Credit Risk Modeller in our Modelling & Data Analytics team!

Job Description:

Why would you want to work for NIBC’s Modelling & Data Analytics (MDA)?

MDA provides an open, positive and challenging environment via a broad range of activities and projects. The team is responsible for the regulatory corporate credit risk models, bank-wide stress testing, PD and LGD IFRS9 corporate models, counterparty credit risk modeling (incl. EE, PFE and CVA/DVA) as well as has a leading role in the ongoing bank-wide transformational change programs. In the course of 2021, MDA will assume responsibility for IRB and IFRS9 models for the residential mortgage portfolios.

Within our diverse team, you will have the opportunity to make an immediate impact by playing a pivotal role in the implementation of the future model landscape and the redevelopment of the retail IRB and IFRS9 model frameworks. You will have the opportunity to broaden your model development skills as well as closely collaborate with our commercial teams, other risk teams, Finance and IT.

What should you like and what will you do?

Modelling

• Co-lead the redevelopment of the IFRS9 model framework for mortgage loans
• (Re-) development of PD, LGD and EAD models for retail exposures
• Proactively initiate methodological updates in response to changes in regulations
• Proactive role in the hands-on data analysis
• Knowledge sharing within the team and other stakeholders

Implementation

• Translating functional requirements into effective end-to-end solutions
• Implementing and operationalizing of risk models within the Matlab ecosystem

Communication

• Be part of the internal Methodology Advisory Group which is responsible for advising the Risk Management Committee on methodological developments
• Take part in the discussions with external stakeholders such as DNB and external audit
• Knowledgeable sparring partner for other teams with regards to credit risk modelling;
• Ongoing liaison with Retail Banking Portfolio Management, Finance, IT and other credit risk modelers

Boundary spanning

• Opportunities to take part in bank-wide projects that span over several knowledge domains and require effective communication at all organizational levels
• Help steer NIBC in the challenging and dynamic regulatory environment
• Further modernize and optimize the credit risk modelling process

Who are we looking for?

• Our ideal candidate is a self-starter and a big picture thinker with attention to detail
• Minimum 3 years of credit risk modelling experience
• Strong preference for hands-on experience with IRB or IFRS9 models for Dutch residential mortgage portfolios
• Hands-on experience with such models in at least one EU market is a must
• Hands-on experience with the latest EU regulations: CRR, EBA guidelines and RTSs
• Matlab and/or Python programming skills are preferred
• Good communication skills (English)
• A positive ‘can do’ mentality; no-nonsense approach/ getting things done efficiently/ making complex things easy to understand

What you will get?

• A role giving you exposure to various internal and external stakeholders where you will get as much responsibility as you can handle.
• Opportunity to make a difference and see the direct impact of your work. As a relatively smaller and dynamic firm, NIBC allows you to not only deepen your expertise but also to have a good grip of the bigger picture.
• Be a member of a diverse international team where collaboration and teamwork are at the core
• A collegial environment where you can learn from the diverse experience of team members.
• In addition to excellent (financial) employment conditions you will have ample development opportunities. NIBC is keen to help employees reach their full potential where you will be at the center of your own growth.

Application/ Further information

Applications can only be submitted through our website. Please click on the apply button, fill in the application form and upload your cv and motivation letter. To upload multiple documents, please click the upload button again after uploading a document!

For more information about the procedure you may contact the HRInfodesk at askhr@nibc.com. For more information about the position please contact Dimitar Mechev at Dimitar.Mechev@nibc.com.