Risk Model Developer Pillar 2 - Leasing

Ayvens is looking for a new colleague who can fill the position of Risk Model Developer Pillar 2 at their Amsterdam based Headoffice. The Model Developer Pillar II works within a team on the development, implementation and monitoring of regulatory and business models. The role also supports the risk department by analysing data in order to detect portfolio trends which cause significant changes in capital or are not within the risk appetite.

The ideal candidate is working with an outperforming drive and has an analysing and problem-solving mentality. You are responsible for:

Model Development:

• Managing the model development projects and ensuring delivery of the model within the agreed timelines;
• Lead expert session meeting and minute the meeting;
• Development of the capital models under Pillar 2 (asset, banking models, exchange rate, strategic risk, concentration risk);
• Development of the stress test models;
• Development of IRRBB models;
• Create model change calendar and manage model development projects;
• Develop models according to the internal development standards and in line with the model governance framework;
• Assess the compliancy of the models to the regulation and fill in the regulatory checklist;
• Assess the model risk and propose resolution to maintain the model risk within the model risk appetite;
• Estimate the impact of the model changes qualitative and quantitative;
• Peer review and quality assurance of developed models;
• Register and update the model in the model inventory.

Model Governance:

• Register and update the model in the model inventory;
• Attest model in the model inventory;
• Update model observation when issue is resolved;
• Provide answers to validation questions;
• Provide answers to audit questions;
• Maintain the model standard for each model category (Asset Risk, IRRBB, Stress Test).

Model Monitoring & Implementation:

• Analyse the model monitoring reports and identify potential issues;
• Propose resolutions to model monitoring issues (e.g. model risk adjustment or redevelopment/calibration);
• Provide model implementation document;
• Provide data requirements for implementation;
• Ensure that model is implemented in line with the requirements;
• Support model user in case of unexplained trends in the model outcome.

Maintenance of Models:

• Maintenance and 2nd line support of Pillar 2 + Stress;
• Ensure timely resolution of model observations (validation finding or monitoring finding);
• Ensure model validation findings are resolved within agreed timelines;
• Analyse the model monitoring reports and identify potential issues;
• Maintain model performance within the model risk appetite.

To succeed in this role, you have the following skills and experience:

The ideal candidate has the interpersonal skills necessary to manage and build relationships across multiple departments. Collaboration, agility project management and decision making are examples of key behaviours reflecting the agile culture of Ayvens.

• Quantitative academic education in a relevant field like econometrics, statistics, mathematics or physics;
• Approx. 7 years of work experience in developing Stress test models, IRRBB and/or Asset Risk models;
• Excellent knowledge of statistics, econometrics, financial mathematics, stochastic calculus and/or machine learning;
• Project management experience of model development for regulatory models;
• Experience in working with regulators (e.g. DNB or ECB) during model review sessions or on-site visits;
• Able to effectively communicate about model developments and model impact;
• Experienced in statistical languages (e.g. SAS, R) or modern programming languages (e.g. Python);
• Experience with data analytics, (pre) processing and data handling is preferred;
• Experience with machine learning/advanced analytics techniques is preferred.

Subsidiary of the Société Générale group, specialized in the automobile financial services, Ayvens, born from the combination of ALD Automotive and LeasePlan, is the leader of the Operational car leasing. Its range of services allows international companies to concentrate on their business line by delegating the financing, the management and the maintenance of their car fleet.

The financial holding company, Ayvens S.A, is a regulated and listed institution and is responsible for the development of the group and of the supervision of its activities in 44 countries where it is implanted. It brings a technical support for subsidiaries thanks to its role of coordination and favors the creation of synergies between countries and regions.

Customers looking for partnership expect from their lessor to act as a trusted advisor to help them make the right fleet management and sustainable mobility choices. This need is booming in a context of stronger relationship commitments from our customers and car industry fast changes.