Senior Consultant - Quantitative Risk Modelling

Senior Consultant - Quantitative Risk Modelling

Finalyse Group

Brussels, Belgium

THE ROLE

We are seeking a Senior Consultant in Quantitative Risk Modelling to join our Risk Advisory practice and support banking clients across a broad range of quantitative models. In this role, you will be involved throughout the full model lifecycle, from design and methodological development to implementation, testing, and independent validation.

You will advise banking clients on quantitative risk modelling, including credit risk, IFRS 9 provisioning, Pillar 2 modelling frameworks, stress testing, economic capital modelling. Senior team members also mentor colleagues and coordinate projects.

You will work on a wide spectrum of models, including credit risk (PD, LGD, EAD/CCF), IFRS 9, Economic Capital, and Pillar 2 models such as concentration risk, operational risk, and other non-Pillar 1 risks. Your work will help ensure that models are technically robust, well governed, and fully aligned with regulatory and supervisory expectations.

As a Senior Consultant, you will contribute to complex quantitative projects and collaborate closely with clients to translate analytical insights into practical, risk-informed decisions. This role combines strong quantitative expertise with applied problem solving, enabling banks to rely on accurate, transparent, and well-governed models for decision-making and regulatory compliance.

RESPONSIBILITIES

• Participating in or leading engagements of our Risk Advisory practice in the quantitative area for our banking clients;
• Assisting our clients in the modelling of their credit risk models: PD, LGD, EAD/CCF, ECL, from model design to model implementation while using the most advanced technologies or software packages;
• Participating to model validation assignments and provide our clients with adequate recommendations to improve their models and related processes;
• Depending on your experience, working as a member of our team of talented individuals or coordinating the workload in various projects while coaching more junior staff;
• Being involved in non-regulatory modelling activities: Machine Learning, AI, Data analytics related projects;
• Building and maintaining close relationships with clients;
• Participating in business development initiatives and internal projects;
• Raising and promoting the company’s image in the financial industry through publications in the Regbrief and participation in external conferences and networking events.

REQUIREMENTS

• Master's degree in econometrics, physics, mathematics, or applied economics with an academic track record in a quantitative field;
• A certification like FRM or PRM would be an advantage;
• At least 4-5 years of experience in Financial Services in the banking sector;
• Familiarity with risk management frameworks (Economic Capital, Risk Appetite, Stress Testing;
• Good hands-on experience in the following areas: model development or model validation etc.;
• Relevant regulatory knowledge (e.g. CRR, CRD, IRB, IFRS9, …);
• Good command of specific packages like SAS, Python or R;
• Ability to work autonomously in a result-oriented environment;
• Very good communication, writing and presentation skills in English (Dutch or French is a plus).