ABN AMRO is on the trend of greater use of models. Driven in part by regulation as well as through innovations, the growing reliance on models manifests in all areas of the bank. For risk management purposes ABN AMRO has models in place for amongst others credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet of the bank. These models use market and client data to predict among others, the client behaviour and their risk profile based on the client characteristic, economy and market. Outside the risk management domain, model-based decision making becomes increasingly important and accepted. Models are also used for pricing, marketing, portfolio management, HR and in multiple other areas and innovative solutions.
The Model Risk Management department acts as a sounding board and expert advisory role for the entire bank for any matters related to model risk and model risk management. The department consists of teams responsible for validating models as well as the Model Risk Management Office. This Office executes, enables and facilitates key elements of the Model Risk Management framework, including control and reporting of model risk and supporting the model life cycle including the support of the validation teams. The team is responsible for managing the framework, supporting the model life cycle, reporting and control of model risk for the entire organization.
As a subject matter expert on model risk, the Model Risk Management Office works closely together with affiliated departments including the (Non-) Financial and business grids, Operational Risk Management & Control cycle to ensure proper model risk management. In addition, it supports Model Validation with model related information, coordination and reporting outside the direct scope of the validation projects. Therefore, the Model Risk Management Office team works closely with the Model Validation teams by informing them timely on any emerging risk in the model development, model implementation or model use.
This responsibility is shared across the department of about 25 specialists in a very international and diverse environment. This diversity, in terms of cultural background, gender, academic and working experience creates an optimal blend. We value team players who are smart, persistent, take their role seriously and are committed to finish the job.