Specialist Quantitative Modeling

Kempen & Co; Amsterdam; On-site; EUR 85,000 - 115,000; Full time

Job summary

Kempen & Co in Amsterdam seeks a Specialist Credit Risk Modelling to develop, recalibrate and monitor credit risk models, collaborating with a team of colleagues. Data and coding are central to the work, with interaction across Board discussions and regulator input.

You will analyse model methodologies, validate results and contribute to the internal code library, while enjoying a diverse, impactful role in a small bank culture.

Qualifications

• Develop, recalibrate and monitor credit risk models.
• Analyse and critically assess model methodologies, outcomes and trends in the data.
• Present results clearly to senior management and relevant stakeholders.
• Lead discussions with stakeholders such as Model Validation, Internal Audit and De Nederlandsche Bank.
• Improve processes and contribute to the further development of our internal code library.

Responsibilities

• Develop, recalibrate and monitor credit risk models.
• Analyse and critically assess model methodologies, outcomes and trends in the data.
• Present results clearly to senior management and relevant stakeholders.
• Lead discussions with stakeholders such as Model Validation, Internal Audit and De Nederlandsche Bank.
• Improve processes and contribute to the further development of our internal code library.

Skills

Python

R

Statistical methods

Data analysis

Code development

Presentation to senior management

Job description

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 Python and R to having discussions with our Board of Directors, De Nederlandsche

Bank and our auditor.

Data and coding are central to your work: to develop a good model, understanding the

underlying data is essential. In addition, modelling requires extensive knowledge of statistical

methods, and the skills to develop code to implement said 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.

What you will do:

• Develop, recalibrate and monitor credit risk models.

• Analyse and critically assess model methodologies, outcomes and trends in the data.

• Present results clearly to senior management and relevant stakeholders.

• Lead discussions with stakeholders such as Model Validation, Internal Audit and De Nederlandsche Bank.

• Improve processes and contribute to the further development of our internal code library.