Intern Model Risk

ABN AMRO's Retail and Non-Retail Credit Model Risk (CMR) teams are seeking a final-year Master's student for a quantitative internship in Amsterdam. The core objective of the CMR team is the independent validation of quantitative models used for credit risk assessment across the bank, ensuring they are conceptually sound, statistically robust, and compliant. Daily responsibilities include analyzing the mathematical and statistical foundations of credit risk models, performing independent challenger analyses, assessing model performance, and working with model-related data. The candidate will gain hands-on exposure to probability of default (PD), loss given default (LGD), exposure at default (EAD), and provisioning models. The ideal candidate has a strong academic background in econometrics, mathematics, physics, or quantitative finance, a solid understanding of statistical theory, and practical programming experience using Python and NumPy. The internship is hybrid-based with a duration of 3 to 6 months.