Specialist Credit Risk Modelling

As a Specialist Credit Risk Modelling, you will be responsible, together with a team of colleagues, for all quantitative models used to quantify credit risk within the bank. Because we are a relatively small bank, your role is very diverse and you will have the opportunity to really make an impact. The diversity of the role ranges from developing models in R to having discussions with our Board of Directors, De Nederlandsche Bank and our auditor on macroeconomic developments.

Data and coding are central to your work: To develop a good model, understanding data is essential. In addition, modelling requires extensive knowledge of statistical methods to build the most accurate model possible.

Within the department we have short lines of communication, and a flat hierarchy which means that ideas can be discussed, formalized and implemented quickly, and even  be requested to be presented  to the Executive Board . This position gives you the opportunity to be part of a great company with an entrepreneurial culture where we highly value personality and respect.

Your responsibilities include:

• developing and recalibrating credit risk models

• discussing and challenging modelling methodologies/results of colleagues

• monitoring the models and analysing trends in the data

• presenting results to senior management

• lead discussions with internal and external stakeholders such as Model Validation, Internal Audit, and the De Nederlandsche Bank

• improving processes and contributing to our internal code library

Your talents

Result-driven, proactive and resourceful, that's how we can best describe you as a Credit Risk Modelling Specialist. Being able to produce your own work independently at times, ask for help when needed, and communicate your results/findings to relevant stakeholders and team members is essential.

Talents that you use to improve the bank in a constantly changing world. By thinking further and asking questions. In addition, you have:

• a quantitative MSc degree, preferably in Econometrics, Mathematics, Physics or Actuarial Science;

• experience in developing statistical models such as logistic regressions, time series analysis and machine learning models;

• strong programming skills and coding discipline, preferably in R or Python, SQL and git;

• good knowledge of the English language, both oral and written;

• strong communication skills.

Move ahead at Van Lanschot Kempen

Investing in a more future-oriented, sustainable, and data-driven way with various clients. Both nationally and internationally. With nearly 300 years of experience, we make this ambition a reality at Van Lanschot Kempen. We do this with some 1,800 colleagues in various fields of expertise.

Together with your colleagues, you are part of the Quantitative Modelling team which falls under the Financial Risk Management department. The team develops and maintains two important modelling landscapes, IFRS-9 and A-IRB. These are the landscapes for our expected credit losses and our unexpected credit losses. In addition, the team develops and maintains various other models, such as capital stress tests, ESG stress tests and concentration risk models.

An organisation's degree of innovation and agility also depends on the diversity of its workforce. Our differences make us stronger together. We promote an inclusive work environment where all colleagues feel at home. With us, you can be yourself. And we are proud of that.

Curious about the stories of colleagues and how they experience working at Van Lanschot Kempen? Listen to our Podcast and find out more!