Senior Consultant Credit Risk Modelling

Senior Consultant Credit Risk Modelling

Financial Risk · Utrecht, Netherlands · Hybrid

Elevate your career, perform when it counts: become part of our global financial consulting evolution!

Your role:

Zanders is an international consultancy specializing in Risk, Treasury and SaaS solutions. From our origins in the Netherlands we now work across Europe, the United States, the Middle East and Asia. Within Risk we cover every financial and non-financial risk type, including ESG and AI, for banks, insurers, lenders and asset managers. As a Senior Consultant in our Financial Risk team in Utrecht, you build credit risk models: A-IRB, IFRS 9, stress testing and ESG models that clients put into production.

The emphasis is on building. You will be in the data and in the code, making methodology choices, testing them and writing them up so they hold with a supervisor. You work in multidisciplinary teams on larger model development programmes, and take clearly defined parts of an engagement as your own, with a manager holding the overall delivery. You are the day-to-day contact for your clients on the work you own.

You will also take on the first coaching responsibilities of your career, supporting consultants in your area of expertise, and contribute to how the practice develops its credit risk knowledge. Within a few years this is the route to Manager, where you carry engagements in full.

Your background will be in the model development function of a bank or lender, or in a consultancy specializing in financial risk.

Key Responsibilities:

• Develop quantitative credit risk models, including A-IRB, IFRS 9, stress testing and ESG models, from data and methodology through to documentation.

• Write and review model code in Python, and work with client data in Databricks or a comparable environment.

• Own defined workstreams within larger model development programmes and deliver them to plan.

• Act as day-to-day client contact on the work you own, keeping stakeholders informed and expectations clear.

• Apply CRD, CRR and EBA Guidelines requirements to concrete model design and validation choices.

• Validate and challenge existing models, and translate findings into practical recommendations.

• Test assumptions with colleagues and clients, and flag risks to the engagement early.

• Coach and support consultants in your area of expertise, reviewing their work and explaining the reasoning behind it.

• Contribute to the practice's credit risk knowledge through internal training, reusable tooling and written material.

• Support proposals and scoping conversations with the material and analysis they need.

• Contribute to internal initiatives that strengthen the Financial Risk practice and the wider One Zanders culture.

Skills to be successful

Essential

• A Master's degree in econometrics, mathematics, physics, quantitative finance, statistics or a related quantitative field.

• 3 or more years of experience building credit risk models, not only reviewing or implementing them.

• Demonstrable models delivered end to end: A-IRB, IFRS 9, PD, LGD or CCF.

• Strong hands-on programming in Python.

• Working knowledge of the regulatory framework for credit risk models, including CRD, CRR and EBA Guidelines.

• Excellent communication skills in English, including writing model documentation that stands up to review.

Also valuable

• Databricks, SAS, R, MATLAB or SQL alongside Python.

• Familiarity with machine learning and AI applications in credit risk modelling.

• Experience with stress testing or ESG risk modelling.

• Exposure to supervisory processes such as TRIM missions, IMIs and OSIs.

• Experience with non-bank lenders or fintech credit portfolios alongside traditional banking clients.

• Experience coaching or reviewing the work of junior colleagues.

• A relevant professional certification such as FRM or CFA.

• Dutch language proficiency.

• Willingness to travel occasionally for international client work.