Quantitative Risk Manager - Stress Testing
This is where you will work
Our client was founded in 1945 to finance the visionary entrepreneurs who helped rebuilding the Netherlands after the second World War, They were closely collaborating while professionally supporting companies and individuals in realising their dreams and goals with a sustainable future in mind. As a midsize bank with a multicultural working environment that is best described as dynamic and ambitious, they share a forward-thinking, can-do attitude with their employees and clients which they call their THINK YES mentality. Their corporate values are Professional, Adaptive, Collaborative and Entrepreneurial. You will have a direct and meaningful impact on both the bank and its clients. By building their company on optimism and mutual trust, and with their THINK YES mentality, it is an enterprising bank that enables ambitions.
The Modelling & Data Analytics (MDA) team provides an open, positive and challenging environment via a broad range of activities and projects. The team is responsible for the bank-wide Solvency and ESG stress testing, regulatory and IFRS9 credit risk models, counterparty credit risk modelling (incl. EE, PFE and CVA/DVA) and has a leading role in the ongoing bank-wide transformational change programs. Within their diverse team, you will have the opportunity to make an immediate impact by playing a lead role in improving the Stress testing framework. You will have the opportunity to broaden your model development skills as well as closely collaborate with Finance, ALM, Treasury, Corporate Development and various risk and IT teams.
This is what you will do
Modelling
- Co-leading the further development of the Solvency and ESG Stress testing framework;
- Co-leading the internal and external (ICAAP) stress testing;
- Proactively initiating methodological updates in response to changes in regulations;
- Performing bi-annual bank-wide stress testing and ad-hoc analysis;
- Knowledge sharing within the team and other stakeholders.
Implementation
- Translating functional requirements into effective end-to-end implementation in Python.
Communication
- Be part of the internal Methodology Advisory Group which is responsible for advising the Risk Management Committee on methodological developments;
- Take part in the discussions with external stakeholders such as DNB, Internal Audit or external auditors;
- Knowledgeable sparring partner for other teams with regards to credit risk modelling;
- Regular liaison with Finance, ALM, Treasury, Corporate Development and various risk and IT teams.
Boundary spanning
- Opportunities to take part in bank-wide projects that span over several knowledge domains and require effective communication at all organisational levels;
- Help steer the organisation in the challenging and dynamic regulatory environment;
- Further modernise and optimise the credit risk modelling process.
What do they expect
The ideal candidate is/has:
- A self-starter and a big picture thinker with attention to detail;
- A hands-on experience with regulatory stress testing;
- Minimum 4 years of market/credit risk modelling experience;
- Experience with risk regulatory projects, preferably within the credit risk modelling domain;
- Good Python programming skills;
- Background in IRB or IFRS 9 modelling is preferable;
- Good communication skills (English);
- A positive 'can do' mentality and no-nonsense approach.
We are offering
Our client provides an ambitious environment where together we strive to create a fantastic workplace in which you feel safe and challenged to be the best version of yourself. This is in line with Professional, Adaptive, Collaborative and Entrepreneurial, since you are in the lead of setting the PACE of your career. In addition you receive a competitive salary, plus:
- Several ways to support your development personally and professionally, a.o.:
- Personal development budget, to spend at your own discretion;
- Professional budget provided by your manager, to develop yourself in your work;
- GoodHabitz: free online courses you can choose to take for your own benefit.
- Our client embraces the Hybrid way of Working. This means that they support working from home as well as encourage our colleagues to come to the office. Their guideline is to spend at least half of the working time at the office;
- Travel expenses or NS Business Card 1st class;
- 32 vacation days (which do not have to be registered);
- Excellent pension scheme (27% contribution) ;
- A voucher to improve your home office;
- The opportunity to take ownership and show initiative in your role. They are always open to new ideas, and encourage to use your voice;
- The nature of our Grow to Make a Difference program enables you to be in charge of your own development;
- Two staff associations;
- Vitality program, annual company-wide sports & leisure days;
- Monthly internet allowance;
- Laptop and a company phone;
- Excellent facilities at the office (Coffee-corner, Restaurant, Exchange bar);
- Last but not least, a fun workplace in which diversity and inclusion is valued.
