Senior Consultant Credit Risk Modelling

Zanders; Utrecht; Hybrid; EUR 80,000 - 110,000; Full time

Benefits offered by this job

Hybrid work

Pension plan

29 paid holiday days

Laptop and iPhone

Mobility budget

Bonus scheme

Job summary

Zanders is seeking a Senior Consultant in Utrecht to build credit risk models (A-IRB, IFRS 9, stress testing) and deliver end-to-end solutions. You will craft methodology, write and review Python code, and guide defined workstreams within larger programmes, while acting as the day-to-day client contact.

You will coach junior consultants, contribute to internal knowledge, and support proposals. A hybrid work environment and travel for international client work are included.

Qualifications

• Master's degree in econometrics, mathematics, physics, quantitative finance, statistics or related quantitative field.
• 3 or more years of experience building credit risk models, not only reviewing or implementing them.
• Demonstrable models delivered end to end: A-IRB, IFRS 9, PD, LGD or CCF.
• Strong hands-on programming in Python.
• Working knowledge of the regulatory framework for credit risk models, including CRD, CRR and EBA Guidelines.
• Excellent communication skills in English, including writing model documentation that stands up to review.

Responsibilities

• Develop quantitative credit risk models, including A-IRB, IFRS 9, stress testing and ESG models, from data and methodology through to documentation.
• Write and review model code in Python, and work with client data in Databricks or a comparable environment.
• Own defined workstreams within larger model development programmes and deliver them to plan.
• Act as day-to-day client contact on the work you own, keeping stakeholders informed and expectations clear.
• Apply CRD, CRR and EBA Guidelines requirements to concrete model design and validation choices.
• Validate and challenge existing models, and translate findings into practical recommendations.
• Test assumptions with colleagues and clients, and flag risks to the engagement early.
• Coach and support consultants in your area of expertise, reviewing their work and explaining the reasoning behind it.
• Contribute to the practice's credit risk knowledge through internal training, reusable tooling and written material.
• Support proposals and scoping conversations with the material and analysis they need.
• Contribute to internal initiatives that strengthen the Financial Risk practice and the wider One Zanders culture.

Skills

Python programming

English communication

Client engagement

Education

Master's degree in econometrics, mathematics, physics, quantitative finance, statistics or related quantitative field

Tools

Databricks

SAS

R

MATLAB

SQL

Python

Job description

Senior Consultant Credit Risk Modelling

Financial Risk, Utrecht, Netherlands, Hybrid

Elevate your career, perform when it counts: become part of our global financial consulting evolution!

Your role:

Zanders is an international consultancy specializing in Risk, Treasury and SaaS solutions. From our origins in the Netherlands we now work across Europe, the United States, the Middle East and Asia. Within Risk we cover every financial and non-financial risk type, including ESG and AI, for banks, insurers, lenders and asset managers. As a Senior Consultant in our Financial Risk team in Utrecht, you build credit risk models: A-IRB, IFRS 9, stress testing and ESG models that clients put into production.

The emphasis is on building. You will be in the data and in the code, making methodology choices, testing them and writing them up so they hold with a supervisor. You work in multidisciplinary teams on larger model development programmes, and take clearly defined parts of an engagement as your own, with a manager holding the overall delivery. You are the day-to-day contact for your clients on the work you own.

You will also take on the first coaching responsibilities of your career, supporting consultants in your area of expertise, and contribute to how the practice develops its credit risk knowledge. Within a few years this is the route to Manager, where you carry engagements in full.

Your background will be in the model development function of a bank or lender, or in a consultancy specialising in financial risk.

Key Responsibilities:

• Develop quantitative credit risk models, including A-IRB, IFRS 9, stress testing and ESG models, from data and methodology through to documentation.

• Write and review model code in Python, and work with client data in Databricks or a comparable environment.

• Own defined workstreams within larger model development programmes and deliver them to plan.

• Act as day-to-day client contact on the work you own, keeping stakeholders informed and expectations clear.

• Apply CRD, CRR and EBA Guidelines requirements to concrete model design and validation choices.

• Validate and challenge existing models, and translate findings into practical recommendations.

• Test assumptions with colleagues and clients, and flag risks to the engagement early.

• Coach and support consultants in your area of expertise, reviewing their work and explaining the reasoning behind it.

• Contribute to the practice's credit risk knowledge through internal training, reusable tooling and written material.

• Support proposals and scoping conversations with the material and analysis they need.

• Contribute to internal initiatives that strengthen the Financial Risk practice and the wider One Zanders culture.

Skills to be successful

Essential

• A Master's degree in econometrics, mathematics, physics, quantitative finance, statistics or a related quantitative field.

• 3 or more years of experience building credit risk models, not only reviewing or implementing them.

• Demonstrable models delivered end to end: A-IRB, IFRS 9, PD, LGD or CCF.

• Strong hands-on programming in Python.

• Working knowledge of the regulatory framework for credit risk models, including CRD, CRR and EBA Guidelines.

• Excellent communication skills in English, including writing model documentation that stands up to review.

Also valuable

• Databricks, SAS, R, MATLAB or SQL alongside Python.

• Familiarity with machine learning and AI applications in credit risk modelling.

• Experience with stress testing or ESG risk modelling.

• Exposure to supervisory processes such as TRIM missions, IMIs and OSIs.

• Experience with non-bank lenders or fintech credit portfolios alongside traditional banking clients.

• Experience coaching or reviewing the work of junior colleagues.

• A relevant professional certification such as FRM or CFA.

• Dutch language proficiency.

• Willingness to travel occasionally for international client work.

We offer:

• A hybrid work environment, that promotes a healthy work-life balance,

• Allowance to set up your home office in an ergonomically responsible way and an internet allowance,

• Mobility budget to cater your commuting needs,

• Participation in the Zanders bonus scheme,

• Secure your future with a pension scheme,

• 29 paid holiday days,

• A laptop and an iPhone,

• An entrepreneurial culture that values personal development, with ample room for initiatives,

• Expertise in your chosen field, building skills rapidly alongside diverse clients and consultants,

• A truly collegiate environment with enthusiastic and helpful colleagues, fostering career excellence in Treasury, Risk or Technology,

• An international and fun working environment, Cultural night events, annual Zanders's trip to a (surprise) location in Europe and many more exciting experiences to come!

About Us:

Progress your career with Zanders.

We are a global financial consulting firm focused on Treasury, Risk and Technology. From our HQ in the Netherlands, we have been expanding our presence in Europe, UK, USA, and Asia. For 30 years we have been providing innovative solutions embracing the latest technological advancements to multinational corporations, financial institutions, public sector entities and NGOs. We go beyond conventional boundaries, delving into new market segments to uncover untapped opportunities. As pioneers in Environmental, Social, and Governance (ESG) principles and practices, we support our clients to achieve their ESG goals.

At Zanders we invest in our people for an inclusive atmosphere, where freedom, fun, and collaboration are pivotal and set us apart, defining our success. We believe that diversity, equity, and inclusion (DE&I) are essential to establish a strong and sustainable business, fostering a culture that values and respects diversity in all forms. Zanders is not just a workplace – it is a supportive community.

We invite those who share our passion for collaboration, growth, and positive impact to join us on this journey. If you're in search of a workplace which nurtures personal and professional development, Zanders is the perfect fit for you.

Join us as we continue to shape the future of consultancy, making a meaningful impact in the world of Treasury, Risk, and Technology!

By applying for a role at Zanders, you give us approval to use and retain your personal details. Considering Zanders' nature of enterprise, you are expected to behave to a high moral standard. A Pre-Employment Screening (PES) by a third party is part of the application process.