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Your working environment:
The ALM & Capital Model team validates the models employed for managing the market (e.g. interest rate) and liquidity risks associated with the products in the banking book of the Bank. The scope of this validation team includes a variety of models ranging from the behavioural Interest Rate Mortgage Model to Market Risk in the Banking Book Economic Capital model. The validator in this team has a key role of:
*assessing the quality of the data used for the development of the prototype model;
*examining the correctness of the methodology and assumptions;
*forming independent opinion on the model's performance;
*assessing the compliance of the model with respect to internal and external regulations;
*checking the final implementation of the model in the production environment;
The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analysing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties. The team creates high-quality validation reports and provides them to the senior management as well as to other key stakeholders. The ALM & Capital Model Validation team has a mandate to escalate the issues to the CRO of the bank.
Your profile:
*University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional. Qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable.
*At least 4 years of relevant work experience in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
*Expert experience with and understanding of Interest Rate Risk, Liquidity Risk, Funds Transfer Price and/or Economic Capital models.
*Expert experience in handling, pre-processing and assessing the quality of (large) data sets.Advanced experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.
Senior ALM & Capital Model Validator
- Location Amsterdam
- Job type Permanent
- Salary Negotiable
- Discipline Investment Banking
- Reference PR/271346_1596553996
The ALM & Capital Model team validates the models employed for managing the market (e.g. interest rate) and liquidity risks associated with the products in the banking book of the Bank. The scope of this validation team includes a variety of models ranging from the behavioural Interest Rate Mortgage Model to Market Risk in the Banking Book Economic Capital model. The validator in this team has a key role of:
*assessing the quality of the data used for the development of the prototype model;
*examining the correctness of the methodology and assumptions;
*forming independent opinion on the model's performance;
*assessing the compliance of the model with respect to internal and external regulations;
*checking the final implementation of the model in the production environment;
The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analysing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties. The team creates high-quality validation reports and provides them to the senior management as well as to other key stakeholders. The ALM & Capital Model Validation team has a mandate to escalate the issues to the CRO of the bank.
Your profile:
*University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional. Qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable.
*At least 4 years of relevant work experience in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
*Expert experience with and understanding of Interest Rate Risk, Liquidity Risk, Funds Transfer Price and/or Economic Capital models.
*Expert experience in handling, pre-processing and assessing the quality of (large) data sets.Advanced experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.