About the job
As Quantitative Credit Risk Manager you will be engaged in the various Credit Risk Control Unit (CRCU) responsibilities of de Volksbank. The CRCU is a department in the 2nd line of defense Expert Center Risk of de Volksbank, and responsible for “setting standards”, “monitoring”, “reporting” and “participating in improvement programs” related to the IRB rating system including IRB and IFRS9 models. The CRCU responsibilities consist of 3 main area’s:
- Monitoring regulatory compliance
- Monitoring model performance
- Monitoring data quality
Your responsibilities:
- Interpretation of CRR and IFRS9 regulations and translating these into policies and standards for the IRB rating systems of de Volksbank
- Monitoring regulatory compliancy and report to senior management
- As regulatory expert you will participate in projects to close of deficiencies and will be actively engaged in model development, review, implementation and application
- You advise in the decision making process and review the quality of project deliverables
- Contact with JST, external auditor and NVB in case of enquiries and consultation
- Manage IRB Roll-out plan and IRB Stocktake updates
- Document changes to the rating system and execute notification to ECB
- Co-ordinate Remedial Action Plan for ECB obligations and limitations
- Actively stimulating knowledge sharing between CRCU, model development and model validation related to the regulation
- As senior you will maintain the backlog, set priorities and divide the tasks in the area of monitoring regulatory compliance
- Coaching and mentoring of colleagues
Ronald Krijkamp – Senior Quantitative credit risk manager:
As Senior Risk Manager CRCU you may define, for example, the internal definition of "facility" as "the set of mortgage accounts connected to a single obligor and a single financed property". You will be advising Modelling and IT teams to apply this definition for the next iteration of IRB models and monitor if the development is in line with the definition. After development you will directly explain to the JST team of ECB, Model Validation and perhaps Audit how "facility" has been applied within the IRB rating system of the bank and why this is compliant with the applicable regulations. Of course this is just one example of many regulatory IRB requirements.
Juson Lopulalan – Quantitative credit risk manager:
Working in the CRCU means that you play a very important role in each phase of the model life cycle (e.g. development, validation, implementation, maintenance, etc.) such that the models meet the regulatory requirements. Depending on the phase of the model life cycle you are either working on, amongst others, updating policies, discuss data requirements with data analysts, provide input to the modelling team, answer questions from model validation or the ECB on-site team, or perform regulatory assessments. And that means that you have to be able to communicate with colleagues with a diverse backgrounds and disciplines.
About us
The CRCU is a team with highly skilled and enthusiastic colleagues. We help each other to be successful and value you as person. Everybody has her/his own talent and you are stimulated to use it as much as possible. There is room for team and personal development.
The lock down has been a challenging period for the whole world. As CRCU, we managed to keep in touch with everybody by means of coffee breaks, digital team events and mentorship for new joiners. We are looking forward to work from the office again, but also appreciate the benefits from working at home. What makes working with the CRCU at de Volksbank in relation to other banks, is that, although of medium size, the bank is an IRB bank directly under ECB supervision. This means that you as regulatory IRB expert will be involved in all stages of the IRB development and application processes. The Volksbank has a warm and inclusive culture, colleagues are approachable and helpful. You may quickly have significant responsibilities, and therefore you will be able to make an impact to the organization.
Currently de Volksbank is preparing for an Agile transformation, to be implemented in the near future. The CRCU will remain as essential 2nd line risk function to secure the IRB status of de Volksbank. Agile and lean techniques are used in our current way of working in order to prepare for the formal change.
Practical background and relevance
You are engaged in social and environmental improvement. You have a strong ability for problem solving and can distinguish between main and side topics. You are proactive in involving relevant experts and accurate in following-up of mutual agreements. You are convincing and can express a critical message in a professional way. Your deliverables are timely, professional and have impact. You have good communication skills in both English and Dutch or the willingness to improve these language skills.
You have:
- An MSc Degree with a quantitative background (for example Econometrics, Physics or Mathematics);
- Extensive working experience in quantitative financial modelling; model development, CRCU function and/or model validation.
- Expert knowledge with European banking regulation and supervision.
- Expert knowledge of CRR related to the IRB rating system and IFRS 9.
- Experience with Agile and lean techniques is seen as valuable.
Interested?
Do you want to apply? Click on the application button and respond to this vacancy. Please leave your motivation and cv and we will contact you as soon as possible. Questions? You can contact Eva Dankers, corporate recruiter via eva.dankers@devolksbank.nl. Due to the holiday season, cv selection and interviews will be scheduled starting from September.