In NN Bank’s Credit Risk Management department we evaluate the risk that parties to which we have an exposure, are unable to meet their payment obligations. I’ve been at NN Bank for 15 months now. Before I joined NN Bank, I worked as a model validator with another bank, where I had a monitoring role and assessed other people’s work. What I enjoy about my current job is that I’m at the helm now and that I’m able to build models. What also appeals to me is that NN Bank is relatively small, so that the playing field and the variety of work are huge.

Personal development
The best thing is that I’ve learnt a lot in a short period of time, which is very satisfying. I’m also given a lot of space for personal development. For example, last year I completed a SAS course. SAS is the software we use to build credit risk models and we use it a lot. I’m also going on a credit risk modelling course soon.

Ambit scrum team
Although every day is different, there are certain recurring elements, such as the daily stand-up meeting of our Ambit scrum team. Ambit is an IT system that we use to record our treasury products. These products also have credit risks. During the meeting, we give a brief account of what we’re working on so that we improve how we work together.

IFRS 9
We recently completed our work on the International Financial Reporting Standard (IFRS) 9. This is a new standard for financial instrument reporting. For our department, this meant changing the way we calculate potential credit loss and so we had to adapt our models accordingly. I worked on adapting the consumer credit model. All new models were then carefully checked by the model validation department and by an external auditor.

Stress test
Our main contribution to the business is that we protect the bank against unwanted risks and unforeseen events. A good example of this is our annual ICAAP. We use a stress test to decide what is a healthy amount of capital for us to hold, which involves simulating macroeconomic shocks to assess whether we can absorb them.

A huge challenge
We want to be a stable bank and that’s why we hold capital. This capital buffer has to comply with the requirements of De Nederlandsche Bank. Because our bank has grown rapidly in a short space of time, partly because of the merger of Delta Lloyd and Nationale-Nederlanden, the requirements for managing our risks are becoming more and more rigorous. It’s a huge challenge to keep pace with this as a risk department.

Alex Siem
Credit Risk Specialist, NN Bank