Model Validator

Do you enjoy an analytic job which makes a difference in the organization? Would you like to get insight into quantitative models that facilitate core activities and decision making of NN Bank? Are you energized by working with highly motivated team players where we place special attention to who you are as a person, what motivates you and what is a most fulfilling role you may play in the project? Do you seek for a challenging and dynamic job where you will be rotating to new project every 3 months? NN Bank is looking for two Model Validators to will join our Model Validation team that is responsible for validating all bank’s models as well as conducting Model Risk oversight.  

What you are going to do

The Model Validator plays a crucial role in managing model risk. The scope of the validation team includes a variety of AIRB models (PD, LGD, EAD), IFRS 9, stress testing, pricing, liquidity risk, interest rate risk models and more. Errors and misusage of these models may result in significant financial losses. As a validator your role is to challenge the quality of the models and identify its risks. The Model Validator examines the theoretical soundness, its compliance with regulations and internal requirements, suitability of modelling techniques, quality of data, judge plausibility of used assumptions,  quality of model performance and model implementation. The validator forms an independent opinion on the model and its suitability for its intended use and provides an advice to Model Risk Committee.

Your responsibilities

• Performing an independent in-depth validation of models, including assessment of data quality, examining the correctness of the methodology and assumptions,  forming independent opinion on the model’s performance, assessment of model compliancy with respect to internal and external regulations,  checking the final implementation of the model in the production environment
• Writing high quality, detailed validation reports. These include a model risk assessment and recommendations for model improvement
• Interacting with model developers, senior management, internal & external audit, regulators etc, in which your report and recommendations will be discussed and challenged
• Your model scope is broad and includes: regulatory and economic capital, market, credit and operational risk models such as IRB, IFRS 9 , stress tests, IRRBB, EaR, EvE, models used for Risk Appetite Framework, as well as models used for internal business purposes such as predicting client behavior and supporting management decisions
• Design and execution of Model Risk Oversight role, such as development of aggregated model risk measurement, monitoring and reporting, ensuring completeness of model inventory and fine tuning risk-based Model Governance process

What we offer you
NN invests in an inclusive, inspiring work environment and in skills and competences for the future. We match this with employee benefits that are in line with what is needed today and in the future. This way, we offer our employees the opportunity to get the best out of themselves. We offer you:

• Salary between €4,686 and €6,694 depending on your knowledge and experience
• 13th month and holiday allowance are paid with your monthly salary
• 27 vacation days for a 5-day working week and one Diversity Day
• A modern pension administered by BeFrank
• Plenty of training and learning opportunities
• NS Business Card 2nd class, which gives you unlimited travel, also privately. Do you prefer to travel with your own transport? Then you can declare the kilometers travelled
• Allowances for setting up your home office and for internet use

Who you are

• University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, statistics/econometrics, machine learning, data science/engineering or similar, at least at Master level. A PhD and/or additional qualification (e.g. e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable
• Have at least 3 years of relevant work experience in the financial industry (e.g. modeler, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research. Having prior experience in credit risk model validation is advantageous
• You are familiar with regulatory requirements for internal models, IFRS 9 and stress testing (Basel IV, CRR/CRD, EBA technical standards and guidelines)
• Experience with modern programming languages, e.g. Python and/or database tooling, e.g., SAS and their application in statistical analysis
• Full professional proficiency of English, both in writing and verbally

Who you will work with

We're so excited to introduce you to our team, Model Validation, which is a young department within NN Bank/CRO. We are truly an international team. At the moment, we have five amazing members, but our goal is to grow to 7-8 FTEs in the upcoming period.

We pride ourselves on having an "let's do it" mentality and prioritizing teamwork. We believe in fully exploring each individual's strengths and needs to place them in a role where they'll be happy and make meaningful contributions. We take ownership of our work, share knowledge, and collaborate to succeed together.

Any questions?

If you have any questions about the job, you can reach out via email to Anna Wisniewska,  at anna.wisniewska@nn-group.com. Any questions about the process can be directed to Meryem Fendik, Talent Acquisition Specialist via 06-57916273.