Quantitative Regulatory Modelling Analyst

Bedrijf: ABN Amro
Type werk: Full-time

We need you! ABN AMRO is a leading Dutch bank, with an international presence across Europe, Asia Pacific, and the Americas. We are looking for skilled quantitative regulatory modelling analysts who have a solid quantitative background complemented with a thorough understanding of the regulatory requirements underlying the internal models for credit risk. Your job As a quantitative regulatory modelling analyst you will translate current and proposed regulatory requirements such as EBA Guidelines on PD and LGD estimation into instructions a credit risk modeller can use in developing regulatory compliant IRB models. Furthermore, the team is also responsible for the quality assurance of initiatives within the bank which affect the modelling process. For example reviewing Basel IV requirements, reviewing the application of modelling guidelines to model developments and instructing the modelling department. In your day-to-day job you will work in multidisciplinary project teams. You clos...

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