Risk Management, ICAAP and Credit Risk Model Expert

An international banking institution headquartered in one of Europe’s major financial hubs. The organization maintains a strong focus on regulatory compliance and robust risk management, with dedicated teams ensuring alignment with ECB requirements and industry best practices.

In this 6-month interim engagement, you will support the enhancement of the bank’s ICAAP framework and perform detailed credit risk-related analyses. Key objectives include calculating the institution’s risk-bearing capacity, refining ICAAP documentation, and improving credit risk model accuracy—all in line with regulatory expectations.

• Risk-Bearing Capacity Calculation

  • Conduct comprehensive risk-bearing capacity assessments.

  • Identify and implement methodological improvements to meet ICAAP requirements.

• ICAAP Framework Enhancement

  • Update and strengthen ICAAP documentation and governance structures.

  • Ensure adherence to relevant regulatory standards and guidelines.

• Credit Risk Model Development

  • Evaluate existing credit risk models and recommend enhancements.

  • Collaborate with internal teams to implement improvements that reflect industry best practices.

• Stakeholder Collaboration

  • Work with cross-functional teams, including risk management and consulting partners.

  • Present progress updates, reports, and deliverables to senior leadership and other key stakeholders.

• 7+ years of experience in ICAAP, credit risk modeling, and regulatory reporting

• Proven track record in risk-bearing capacity calculations and credit risk assessments

• Strong knowledge of ECB requirements and ICAAP best practices

• Excellent analytical, documentation, and communication skills

• Background in banking or consulting environment

• Complex, High-Profile Project: Take on a challenging assignment that substantially enhances your professional portfolio, positioning you for future high-value mandates.

• Likely Extension: While initially planned for 6 months, an extension is possible—and likely—based on project needs.

• Transformation & Automation: Lead the conversion of manual processes into efficient automated solutions, driving tangible, results-oriented outcomes.

• Collaborative Environment: Work alongside cross-functional teams and industry experts, gaining deep insights and broad networking opportunities.

• Regulatory Alignment: Contribute to initiatives shaped by ECB standards and best practices, reinforcing your expertise in a highly regulated banking environment.