Job Description

Our client is looking for an Internal Model Auditor to join the Internal Model supervision team. He·she will be in charge of the review, validation and approval of internal models for banks.

The Internal Model Auditor will be responsible for:

• Carrying out on-site inspections, possibly in collaboration with international teams and/or abroad,
• Controlling banking activities,
• Ensuring approval of internal credit risk models,
• Contributing to the monitoring of a large number of financial institutions to gain insight into industry practices,
• Contributing to the development of control policy notes,
• Contributing to the promotion of best practices,
• Participating actively in national or international working groups for the development of control policy and the promotion of best practices,
• Taking part in the discussions regarding the use of Machine Learning techniques for capital reporting.

Profile

• Master’s degree in Physics Engineering, Actuarial Science, Statistics or Mathematics, or in Business Engineering with a quantitative background,
• Have experience in financial modelling and a previous experience with Solvency II and/or Basel II/III is a strong asset,
• Good programming skills, specifically in SAS, R and Matlab,
• Excellent communication skills,
• Strong sense of ethics and independent thinking,
• Fluent in English, native in either French or Dutch with at least a passive understanding of the other national language.