Cluster Lead Specialized Lending Models (Credit Risk)

Details

In February 2025, the Risk Management mission has been reset to address the challenges and pain points. The mission of the CRO organisation is ‘we deliver sound and simple Risk Management solutions to increase our resilience while enabling our client’s success and the banks growth’, with the vision to ‘secure risk excellence in the heart of ABN AMRO’. Therefore, the CRO organisation focusses on four strategic pillars: Simplicity, Execution Focus, Risks that Matter and Risk Culture. These strategic pillars rely on their People, Innovation, Seamless Processing, Governance & Organisation to successfully realise the Risk Management Vision.

Measuring and effectively managing risks is key in banking. The need for modelling in core banking processes and risk management is expanding rapidly, risk models are key in achieving the bank's ambitions to efficiently allocate capital, ensure a smooth lending journey and control costs. New technologies, new data sources and data driven solutions create an enormous amount of opportunities. On the flip side, these opportunities result in competition from unexpected parties at an increasing high pace. ABN AMRO intends to make a step forward by exploiting these new opportunities and strengthen the competitive position.

Responsibilities

• Take end-responsibility for the delivery of all model redevelopments and recalibrations in scope of Non-Retail Specialized Lending portfolios, in line with the bank modelling roadmap and internal/regulatory modelling standards.
• Oversee the Cluster Specialized Lending Models team and coordinate end-to-end modelling chain for respective model developments & recalibrations.
• Coordinate and collaborate closely with stakeholders including Model Owners, Data teams, Model Implementation teams, Model Validation, Audit, Corporate Banking and Wealth Management.
• Drive model development, maintenance, backtesting and review of key risk components used for IRB, IFRS9, Stress Testing, credit decisioning, pricing and early warning.
• Pursue new techniques and ways of working (such as Machine Learning) to increase model effectiveness and modelling process efficiency.
• Represent Risk Modelling in interactions with business stakeholders, Finance, ALM, COO, IT, regulators and external parties.

Working environment

• You directly report to the Head of Risk Modelling and are a member of the MT Risk Modelling.
• You have three direct reports: Subteam Lead Specialized Lending I, II and III.
• You oversee a workforce of approximately 30 FTE (the Risk Modelling department has ~150 FTE across 5 teams).
• Coordinate the end-to-end modelling chain and collaborate with Model Owner, Data teams, Model Implementation, Model Validation, Audit, Corporate Banking and Wealth Management.
• Office location: head office at Gustav Mahlerlaan, Amsterdam. The team applies a hybrid way of working.

Requirements

• Academic master’s degree or PhD.
• More than 8 years of experience in a financial environment.
• Experience leading large multidisciplinary quantitative projects.
• Thorough knowledge and experience with risk modelling (Credit Risk, Market Risk, Liquidity Risk, Interest Rate Risk, Economic Capital).
• Experience with models for IRB, IFRS9, Stress Testing, credit decisioning, pricing and early warning systems.
• Thorough knowledge of financial markets, products and risk management.
• Thorough knowledge of relevant rules and regulations and regulatory trends (Basel, IFRS, FRTB, CRDIV/V, etc.).
• Experience in interactions with DNB/ECB including onsite inspections.
• Strong stakeholder management and leadership skills to interact with internal and external stakeholders and regulators.
• Experience in developing models, quantitative analysis and programming.

Benefits

• Salary range: € 9.257 - € 13.224 per month (see salary fields).
• Competitive salary and excellent employment conditions.
• Flexible/hybrid working environment and freedom to optimise performance.
• Additional benefit budget of 11% to buy flexible terms of employment.
• Personal development budget of €1,000 per year.
• Public transportation subscription.
• Excellent pension scheme.

Interested?

If interested, send your application. For more information contact Joris Cloostermans ([email protected]), Head of Risk Modelling or Robert van den Boogaard ([email protected]), Talent Acquisition Specialist.

Other information

• Department: Risk Modelling (Data & Analytics).
• Experience requirement noted as 10+ years in brief; profile specifies more than 8 years in a financial environment.
• Working hours indicated as 36-40 per week in the vacancy brief.
• ABN AMRO emphasises inclusivity, sustainability and equal opportunities.