Data Scientist - Credit Risk Modelling

at ABN AMRO

📍 Amsterdam, Netherlands

EUR 63,600-90,900 per year

MIDDLE

✅ Hybrid

🕙 36-40 hours per week

Tech Stack
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3-6 — daily use. Comfortable and regular usage, capable of handling common tasks and challenges related to the technology;

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10 — exceptional knowledge, comprehensive understanding, and adeptness in all aspects of the technology, including advanced problem-solving. Think twice before claiming or demanding such level.

Azure @ 3 Azure DevOps @ 3 Communication @ 6 Compliance DevOps @ 3 Git @ 3 IFRS @ 3 Python @ 2 SQL @ 2 Spark @ 2 Statistics @ 6 Stress Testing @ 3

Details

We are looking for a medior data scientist to join ABN AMRO's Non-Retail Credit Risk Modelling team within the Risk Modelling department. The team develops quantitative risk models that support risk-based decision-making, pricing, credit granting, capital requirements, regulatory compliance, and sustainable growth.

Responsibilities

Redevelop credit risk models for various lending portfolios.
Contribute to every phase of the model redevelopment cycle, from model initiation through internal validation and onsite inspections by DNB and the European Central Bank (ECB).
Apply advanced knowledge of statistics, coding, modelling decisions, and applicable regulations.
Communicate recommendations clearly and collaborate with stakeholders across the bank.
Help reshape ABN AMRO's credit risk model landscape.

Working Environment

The Risk Modelling department is an international team of more than 150 professionals and serves as the bank's centre of excellence for quantitative risk models. The team supports daily decision-making processes and works on intellectually challenging, quantitative projects with a hands-on mindset.

Requirements

Master's degree or PhD in a quantitative field.
More than two years of experience working in a credit risk modelling team, such as in IRB, IFRS 9, stress testing, or related model development.
Fluency in spoken and written English.
Strong communication skills and the ability to engage with stakeholders at different levels of seniority.
Familiarity with relevant coding languages and technologies, including Spark, Python, and SQL.
Experience with Azure DevOps and Git is preferred.
Thorough knowledge of banking and credit risk.
Thorough knowledge of rules, regulations, and regulatory trends relevant to credit risk modelling, including Basel and CRR.
Experience communicating with DNB and ECB and participating in onsite inspections is preferred.
Experience with large, quantitatively focused projects and strong attention to detail.

Benefits

Gross monthly salary of €5,304 to €7,577 based on a 36-hour work week, including holiday allowance and a flexible benefit budget.
Excellent pension scheme.
Flexible working, with working from home possible in consultation with the team and depending on the role.
Ergonomic home office setup.
Five weeks of vacation per year, supplemented by two mandatory days off, with the option to purchase up to four additional weeks annually.
Five additional 'Banking for better days' for personal development or volunteer work.
Development budget of €1,000 per year, which can accumulate up to €3,000.
Annual public transport pass providing free public transportation throughout the Netherlands for business and private use.