Intern Model Risk

Details

At ABN AMRO, models play an important role in understanding and managing credit risk. The Retail and Non-Retail Credit Model Risk teams validate models used for probability of default (PD), loss given default (LGD), exposure at default (EAD), and provisioning.

Responsibilities

• Analyse the mathematical and statistical foundations of credit risk models.
• Work with model-related data and Python-based tooling.
• Support independent challenger analyses to assess model performance.
• Contribute to validation work for PD, LGD, EAD, and provision calculation models.
• Help structure documentation and support administrative tasks related to model risk management.
• Contribute actively, ask questions, and take ownership of assigned work.

Requirements

• Final-year master's student at a Dutch university in a quantitative field such as econometrics, applied mathematics, applied physics, quantitative finance, or a related discipline.
• Strong academic record.
• Strong quantitative, analytical, and statistical skills.
• Interest in credit risk models and quantitative modelling.
• Practical experience with Python, ideally including NumPy.
• Proactive mindset, curiosity, eagerness to learn, and a structured way of working.
• Strong communication and interpersonal skills.
• Collaborative mindset and ability to work as part of a team.
• Relevant extracurricular activities, international experience, and strong results in statistics and programming courses are a plus.

The internship has a minimum duration of 3 months, with the possibility of extension up to 6 months.

Working Environment

You will work in the Retail and Non-Retail Credit Model Risk teams in Amsterdam. The teams consist of approximately 35 colleagues, including quantitative professionals with backgrounds in mathematics, econometrics, physics, and risk management. The role follows a hybrid setup combining office and remote work.

Benefits

• Meaningful internship within a specialised quantitative risk team.
• Opportunity to learn from experienced professionals.
• Exposure to real model risk challenges in a large financial institution.
• Opportunities for personal and professional development.
• Dynamic and intellectually stimulating working environment.
• Internship compensation in line with market practice.
• Internship compensation of €750 per month.

Applications must include a CV, cover letter, and grades in either the CV or cover letter.