A major European bank requires a Subject Matter Expert Internal Credit Models with deep regulatory and audit expertise in CRR3 and EGIM to support internal model audits. The role exists to strengthen assurance over Internal Ratings-Based models and related controls, focusing on methodology, data integrity and compliance with EBA/GL/2023/02 and Basel III/IV principles.
The Mission
The immediate project is a programme of model reviews covering PD, LGD, EAD and CCF models used for Pillar 1 capital. The technical landscape combines IRB modelling methodologies, model governance reviews, and controls testing against CRR3 (Article 191) and the EBA Guidelines on Internal Governance (EGIM). Your work informs senior risk and audit stakeholders and contributes to regulatory reporting and remediation plans.
Day to day you will plan and execute model audits and validations, challenge model methodology and assumptions, test data inputs and pipelines, and assess model implementation in production and reporting chains. You will produce clear, evidence-based audit findings and remediation recommendations, present results to (senior) management, and coordinate follow-up work with risk, model owners and IT teams.
Your Responsibilities
- Lead end-to-end audits and validations of Internal Ratings-Based models, delivering clear conclusions on PD, LGD, EAD and CCF model soundness.
- Assess compliance with CRR3 (Article 191), EGIM and EBA/GL/2023/02, and translate regulatory requirements into audit criteria and test plans.
- Challenge model design and methodology, quantify model risk where possible, and recommend technical and governance improvements.
- Test and validate data integrity, transformation logic and reconciliation controls that feed model inputs and accounting or regulatory reporting.
- Communicate findings with concise executive summaries and detailed working papers, and drive remediation tracking until closure.
- Mentor junior auditors and share subject-matter knowledge across audit teams to raise consistency of model reviews.
Your Profile
Essential Skills
- Proven senior experience, minimum 6 years in accounts reporting, controls or consolidation processes and at least 3 years auditing or validating IRB models.
- Deep regulatory knowledge of CRR3 (Article 191), EGIM (EBA Guidelines on Internal Governance), EBA/GL/2023/02 and Basel III/IV frameworks.
- Strong technical ability to review PD, LGD, EAD and CCF methodologies, model performance metrics and backtesting approaches.
- Excellent analytical and synthesis skills, producing concise management reporting and robust working papers.
- Professional audit certification (for example CIA) or relevant certifications such as CFA or FRM.
Preferred Skills
- Experience with bank-specific model tooling and financial processes, familiarity with BNPP tools is an advantage.
- Prior exposure to internal audit or validation work within large banking organisations.
Languages
- English, C1
- French, B2 (working knowledge)
- Dutch, B2 (working knowledge)
Education
- Master’s degree in Finance, Economics, Statistics, Risk Management or equivalent quantitative discipline, or equivalent professional experience.