Credit Risk Model Expert (IFRS9)

Are you an experienced Credit Risk specialist with sound knowledge about the Dutch mortgage industry and are you keen on further strengthening the position of our client's position? Please take a look at this interesting opportunity.

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Job description

We are looking for a credit risk modeler. Your main focus will be on model (re)design and development of AIRB models for several retail mortgage portfolios. This includes model design, documentation and prototyping the design (in R) for model testing purposes and a smooth handover for implementation.

• You are responsible for the plan and execution of the model design for all Credit Risk Models and in particular AIRB and IFRS 9 models
• You are responsible for a smooth hand-over to the model users via a proper prototype and knowledge sharing sessions
• You will plan and execute the sequential implementation of AIRB and IFRS9 models for our balance sheet transactions (e.g. the acquisition of a.s.r. bank)


• You have prior experience with AIRB regulatory applications or TRIM for a Dutch mortgage portfolio
• You have at least 5 years of relevant working experience
• You have a master’s or PhD in a quantitative field (econometrics, mathematics, physics, AI or similar)
• You are an expert in R, Python, Matlab, SQL (or similar)

Company Profile

Our client has a small team with growth ambitions which is responsible for the correct execution of the model lifecycle of the credit risk models  for all mortgage portfolios. The team is responsible for the model design and periodic review phases and has an assisting role in the model implementation.

Publication date


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At a glance

Your contact

Dennis Yap

Managing Director

What is your life quote / life motto?
May the Force be with you

What is your tip in recruitment/consulting?
Steady wins the race

What is your goal for 2022
To bring my golf handicap to the low 20s, to take Vye Consulting to the next level and to expand my trainer collection with a number of must haves.