Senior Consultant Model Validation

Protiviti The Netherlands advises appealing national and international clients in various market segments. Our team (over 100 FTE) consists of experienced, ambitious management consulting professionals that are specialised in the field of Risk Management. Our company culture is based on team spirit, professionalism and entrepreneurial spirit in an informal atmosphere.

Protiviti The Netherlands is part of Protiviti Inc., an international consulting organisation with 9000+ professionals that is among the top in the field of risk consulting and internal audit services. Protiviti operates globally and is represented in the 20 major economies. Protiviti is a wholly owned subsidiary of the listed company Robert Half (RH).

Protiviti Netherlands offers services in four areas:

Technology Consulting
Business Performance Improvement
Internal Audit and Financial Advisory
Risk & Compliance

Background

Model validation and model audits have become core to model risk management within banks and the financial industry in general. For the credit risk domain requirements are very specific and challenging for ECB supervised, but also smaller banks. As supervision becomes stricter over the years and continues to change, the validation and internal audit functions play a key role in the assessment of the framework in organisations. Assurance about how we use models has an increased interest from both clients and supervisors. With the increased use of Artificial Intelligence, the way this is done also changes.

Protiviti recognises that Validation and Internal Audit teams find themselves facing this challenge:

Complex model validation and audits focusing on 1st line of defense (model development, implementation and use) and for audits also the 2nd line of defense, model validation, including model governance, especially in the credit risk domain.
Processes under review include data quality dimensions, the model conceptual soundness review and performance testing, reporting and model use, throughout the lifecycle of a model.
Assessing the programmatic quality and compliance which includes model identification and tracking, model validation, and monitoring model performance.

Model Validation assesses models in-depth, especially on soundness and data quality, and advises model risk management committees on the (continued) use of a model. Internal Audit assesses the effectiveness of the MRM framework, gives insight into the use of models and whether it is suitable for its stated purpose. Design effectiveness is assessed to assist management, the board and other stakeholders in the performance of their duties and to confirm that the organisation adheres to the guidelines of supervisors.

Your role

Protiviti is currently strengthening and extending its Model Validation team in the Netherlands. Therefore, we are looking for a Senior Consultant or Manager Model Validation, who is helping us on our Model Validation projects. As most of our assignments are with financial institutions in credit risk, credit risk and preferably credit risk modelling or model validation experience is required. In addition, there is an increasing demand for support in the field of compliance models (AML/CTF). You will be working in a team of highly qualified professionals and working together with Protiviti experts around the world. You are an expert in validating credit risk models and are able to perform independent model validations or help the audit function to understand these models. We intend to further broaden our model development activities. You will also assist in business origination and product development.

Your Profile

Candidates have a quantitative background with wide knowledge of modeling techniques in the credit risk domain, preferably including Artificial Intelligence.

Completed a Master degree in a quantitative field, such as Mathematics, Econometrics, Physics or Engineering
3-10 years of work experience
You enjoy being challenged with complex issues and models
Excellent analytical skills, research skills
Like to work in projects and/or programmes
Have affinity with business origination and product development
CFA or FRM certified and/or prepared to follow advanced courses
Fluent English, spoken and written, fluent in Dutch is considered a plus
Eager to learn, energetic, loves to work in an environment without boundaries

Knowledge and experience

Modelling
Credit Risk Management, preferably compliance models
Data analytics, preferably Artificial Intelligence
Coding skills (e.g.): R, Phyton, MATLAB, VBA, SQL, Java, C++

Our offer

Our projects allow you to investigate the recent applications of model development, validation, audit and Artificial Intelligence, we will push and enable you to develop yourself. You will also be able to further develop your management and project management skills. In addition to good primary and secondary benefits, Protiviti offers you challenging projects and the opportunity to help build an entrepreneurial consulting firm that is part of a global consulting organisation. Working at Protiviti means entrepreneurship within an international (knowledge) environment, flexibility, personal development and cooperation.

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