Data Scientist Credit Risk IFRS9
having an impact on all the models that affect all of our clients. As a Data Scientist in IFRS9 monitoring team, you will in particular be analysing IFRS9 models and data across all portfolios of Rabobank. You’ll have a hand in monitoring the IFRS9 provisions and the model components (PD, EAD, LGD, etc.), developing monitoring methodology and presenting your results to stakeholders.
Making a difference
- Implement and perform quantitative tests to monitor the IFRS9 models performance in Python
- Interpret and translate the results of quantitative analyses to understandable reports
- Develop and improve methodologies for testing the performance of the IFRS9 models
- Practice your skills in communication and presentation by effectively sharing your observations with stakeholders, which in turn improves their work
- Prove the added value of model monitoring by identifying flaws at the earliest possible moment
- Have the opportunity to act as project manager and bring monitoring projects to a successful completion
With each other
Collaboration is at the heart of everything we do. Our Credit Strategic Model Unit (CSMU) team brings diverse and talented people together to monitor and backtest the most important models of Rabobank, such as IFRS9, A-IRB and valuation models. Your experience with IFRS9 modelling/validation will be your guide as you analyse the performance of a variety of models and ensure that they meet ever-changing market and regulatory requirements. As a Data Scientist IFRS9, you will practice intelligent ways of analysis with your CSMU team colleagues and dealing with stakeholders such as model validation and model developers.
Fatemeh, Team Lead IFRS9 Monitoring & Backtesting: “ Working in CSMU is a great opportunity to see many credit risk models of the bank including all IFRS9 portfolios and contribute to strengthen the performance of these models. Besides being part of a talented team of data scientists, we work closely with broad range of stakeholders in the data team, model development, validation, business and audit. ”
Jeroen, Advanced Analytics Young Professional: For me CSMU has been a great starting point in getting to know the bank. In CSMU we work together with many other teams and face a wide variety of challenges. And because we focus on three aspects of credit models (strategy, methodology & backtesting) there is always plenty to learn!
If we were to ask your friends to describe you in a few key words, the answer would be: customer-focused, pro-active, accommodating, positive, empathetic and eager to learn. For the position of Data Scientist IFRS9, you should also have:
- A Master’s or PhD in an exact science (econometrics, mathematics, physics, engineering, astronomy or similar)
- 1-3 years of experience in modelling, monitoring or validation of IFRS9 models
- Programming experience in Python, SQL, GIT or similar
- Practical experience with regulatory requirements (IFRS9, LGD, PD)
- Fluency in English; both in writing and in oral communication
- Experience in project management and organisation or Agile way of working
- Knowledge about A-IRB models or Basel3 is a plus
Growing a better world together
Rabobank is a financial services provider for 8,5 million customers in 40 countries. But did you know that we are also working to make the world a better place? We do so in countless ways, such as:
- Supporting risk-savvy models that ensure the right balance between business opportunities and appetite, to drive effective financial services.
- Growing better models together, which enables the right customers to get the right support at the right time to pursue their dreams.
- Ensuring that the models that are made, are made even better by your impact.
Do you want to become the ideal version of yourself? We would love to help you achieve this by focusing firmly on your growth, development, and investing in an environment where you keep learning every day. We give you the space to innovate and initiate. In this way, we offer you numerous opportunities to grow and help you exceed your expectations, to do the right thing exceptionally well, and to therefore grow as a professional. In addition, with us (on the basis of a 36 hour working week), you can expect:
- A gross monthly salary between €3.200,- and €5.300,- depending on your experience and Seniority.
- A thirteenth month and holiday pay.
- An Employee Benefit Budget of 9% or 10% of your gross monthly salary. You decide how to spend this budget. This may include purchasing extra leave days, or making extra pension contributions.
- Flexible working times and location-independent working (working ‘Digitally first’).
- 100% reimbursement of commuting costs if you travel by public transport. Do you still prefer to travel by car or motorbike? Then choose a home/work travel allowance. When applicable, a working from home allowance is available.
- A pension scheme, to which your contribution is only 3,5%.
Are you the person we're looking for? Are you ready to join Rabobank as a Data Scientist IFRS9 and to make a difference to yourself, our customers and to society? We look forward to receiving your application for this vacancy in Utrecht.
Good to know:
- Sven van Buuren, recruiter, would be happy to answer any questions about the application procedure via Sven.van.Buuren@rabobank.nl .
- We want to use your talent in the broadest sense and would like to look at your response more broadly than this vacancy. Your profile will be included in the Sourcing Board Data & Analytics. If you object to this, you can indicate this by e-mail at firstname.lastname@example.org
- The application process includes screening. Based on the screening procedures in place at Rabobank, we assess whether new staff are reliable enough to work at Rabobank.
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- Everyone is different, and it is exactly those differences that help us become an even better bank. That's why we want to know who you really are.
- Acquisition further to this vacancy is not appreciated