Medior Credit Risk Model Owner

Details

Join the Model Strategy team within ABN AMRO’s Credit Risk Control Unit (CRCU). The team acts as model owner for Credit Risk models, including IRB, Non-IRB, IFRS 9, EC models and scorecards. It shapes model strategy and coordinates and oversees the full model life cycle, including design, internal and regulatory approval, implementation, use, monitoring and decommissioning. These models support regulatory and economic capital calculations, provisioning, risk-based decision-making, portfolio management and other downstream processes.

Responsibilities

• Maintain the model strategy and return-to-compliance plans.
• Oversee the life cycle of retail credit risk models, including IFRS 9 and stress-testing models, and EC models across retail and non-retail portfolios.
• Participate actively in model development to ensure delivery in line with strategy and requirements.
• Determine requirements for new models.
• Sign off on model development, changes and monitoring.
• Support model implementation.
• Address model deficiencies and findings.
• Oversee and report on model use.
• Execute model decommissioning.
• Report to senior management and key stakeholders.
• Coordinate activities with external vendor model providers.

Working Environment

The CRCU and Model Strategy department consists of four teams, including Retail and EC Model Strategy and Non-Retail Model Strategy teams, and approximately 50 FTEs. The Model Strategy teams collaborate with Modelling Data, Risk Modelling, Model Validation, Model Implementation, Credit Risk teams, business lines, Internal and External Audit, and supervisory authorities such as DNB and the ECB. The department offers opportunities for personal and professional development in an open and informal environment.

Requirements

• PhD or MSc in a quantitative or relevant field.
• 2–6 years of experience in a relevant role, such as Credit Risk Management, Modelling or Model Validation.
• Ability to switch between detailed analysis and broader strategic challenges.
• Knowledge of credit risk model-related regulation, including CRD/CRR and IFRS 9.
• Solid understanding of credit risk model design and underlying data, with the ability to explain these concepts clearly to stakeholders.
• Excellent written and verbal communication skills, with fluency in English.
• Confidence in stakeholder management and the ability to lead constructive discussions.
• A curious, responsible and proactive attitude, with the ability to take initiative.

Benefits

• Full-time position of 36–40 hours per week.
• Competitive salary.
• Flexible working environment.
• Supplementary benefits budget of 11% for additional employment benefits.
• Personal development budget of EUR 1,000 per year.
• Annual public transportation pass.
• Solid pension plan.
• Pay scale 9–10 depending on experience and assessment.