Senior Credit Risk Modelling Consultant (Hybrid)

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

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.