As a Model Validator in the Innovation & Projects Model Validation team, you are responsible for technical and high quality validations of:
Large-scale projects of new model development in any risk type, e.g. IFRS9 models in provisioning, new definition of default implementation in credit risk,
Operational risk and stress-testing models,
Innovative modelling initiatives, e.g. machine learning type of models,
Nonfinancial risk models e.g. compliance models (anti-money laundering, client screening), IT security models (phishing detection), etc.,
Investment advisory models e.g. option pricing and market risk models for standard and structured products.
These validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices. You form an independent opinion on matters such as the mathematical consistency of the model, its suitability for the intended use, the accuracy of the model and its proposed implementation, model performance, as well as quality of the data which is used in modelling process. The findings of the validation are presented in a validation report, which contains a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified. Model Validation has a mandate to escalate the issues to the CRO of the bank.
The scope of the Innovation&Projects team will keep growing over time and you will take part of very diverse projects in terms of modelling methodologies and stakeholder management.