Data Scientist - Credit Risk Modelling

Werken bij ABN AMRO
Effectively managing risks is essential in banking. The importance of modelling in core banking processes, such as risk management, is growing rapidly. New technologies, data sources, and data-driven solutions bring countless opportunities. These opportunities drive competition and increasing regulatory demands on data and models.
ABN AMRO is taking a proactive step by leveraging these opportunities to strengthen its competitive position. The Risk Modelling department aims to create risk models that enable risk-based decision-making and sustainable growth. Our models comply with regulations, accurately predict risks, and allow us to offer clients a sustainable price that aligns with their risk profile. Our team is committed to being at the forefront and cutting edge of these developments.
De werkomgeving
ABN AMRO’s Risk Modelling department is a young and international team consisting of over 150 professionals from diverse backgrounds. As the bank’s centre of excellence for quantitative risk models, we play a crucial role in daily decision-making processes. Our models support activities like pricing deals, granting credits, and determining capital requirements. Our team thrives on intellectual challenges and has a hands-on mindset to deliver results. Collaboration is key to ensuring our work has maximum usability and a positive impact across the bank.
Arbeidsvoorwaarden
We believe it is important to be a good employer. Joining us means stepping into a role with impact, supported by excellent employment conditions that foster your job satisfaction, development, and wellbeing.
Wat we bieden

• An attractive gross monthly salary based on a 36-hour work week, including holiday allowance and a flexible benefit budget.
• An excellent pension scheme, ensuring that you are well prepared for the future.
• Flexibility in working: working from home is possible in consultation with your team and depending on your role. We will provide an ergonomic home office setup for you.
• Plenty of room for relaxation with five weeks of vacation per year, supplemented by two mandatory days off. You can also purchase up to four additional weeks of vacation annually.
• Five “Banking for better days”: extra days off that you can use for personal development or volunteer work.
• Personal development is key: you receive a development budget of €1,000 per year, which can accumulate up to €3,000.
• An annual public transport pass with free public transportation throughout the Netherlands for both business and private use.

Solliciteer nu via de knop hieronder en maak impact bij ABN AMRO!
Belangrijkste verantwoordelijkheden

• Play a key role in redeveloping credit risk models for various lending portfolios.
• Contribute to every phase of the model redevelopment cycle, from model initiation to internal validation and onsite inspections by DNB/ECB.
• Articulate views clearly and foster strong collaboration with stakeholders across the bank.

Vereisten

• Master's degree or PhD in a quantitative field
• 2 years’ experience working in a credit risk modelling team e.g. IRB, IFRS9, Stress testing or related model development
• Fluent in English, both spoken and written
• Effective communicator, connecting easily with stakeholders on different levels of seniority
• Familiar with relevant coding languages, such as Spark, Python and SQL
• Thorough knowledge of banking and credit risk
• Thorough knowledge of rules and regulations and regulatory trends relevant for credit risk modelling (Basel, CRR, etc)