Quantitative Market Risk Professional
This is where you will work
The Market Risk Management team is an energetic team of highly qualified professionals. They are responsible for managing the balance sheet of the domestic banking branch of the bank. They do this by hedging their interest rate and liquidity risks in close cooperation with Bank Treasury. They maintain close relations with their stakeholders, advise them on product and pricing changes and make them aware of all relevant (macro-economic) trends and consequences. The recent strong increase of interest rates is an example of such a trend.
The Market Risk Management team is a team of around 30 experts. They are determined to advise our business stakeholders to empower the customers of the bank to stay ahead financially, in life and business. Client behavior is crucial to them and they deal with large amounts of data. They use state-of-the-art modelling methods and technologies to explore, analyse, and leverage data. In addition, in the upcoming years their team will be involved in the full migration to the target ALM solution built in QRM. The position offers excellent opportunities to broaden your market risk / asset & liability management and data analytics competencies while working on your soft skills by advising stakeholders.
This are your responsibilities:
- You will become responsible for managing roughly 150-180 bio. of assets and liabilities contributing to around one-third of the overall P&L. You will perform this responsibility in one of the four squads.
- Your main task is to hedge the balance sheet in order to realize a stable margin and Net Interest Income for the bank. The hedges are largely dependent on client behavior, so you will monitor and model the behavior and spot emerging trends using big data analytics.
- Because their hedges influence the cost-price of their products, you will be asked for advice by the business tribes in pricing and product decisions. In doing so, you have to know all the details of our product offerings (mortgages, savings, current accounts, business loans, consumer loans).
- You will play a central role within the bank and your activities will impact the overall P&L. Your success will depend on your ability to maintain good relations with our stakeholders, i.e. CRO NL divisions, Finance, the business Tribes, Corporate Financial Risk, Model Validation, Group Treasury and also our external stakeholders such as ECB, DNB.
- You take part - directly or indirectly - in the migration to QRM for the monthly hedging process
This is what you need
- An academic degree, preferably in econometrics or other quantitative studies such as Mathematics or Physics
- Finished additional professional qualifications in the financial risk field such as CFA, FRM, or the willingness to do so
- Minimum of 2 to 3 years of relevant experience in the financial sector (eg. banking, insurance, consulting)
- Extensive knowledge of financial risk management, relevant regulations, e.g. Basel/IRRBB, modelling and hedging techniques
- Knowledge of - and preferably experience with the parameterization of - behavioral ALM models (prepayment, non-maturing deposit modelling)
- Experience with stakeholder management
- Experience with advanced statistical/machine learning techniques and/or data modelling software (eg. Python, R) is an advantage as well as experience with QRM, and/or the implementation of other ALM vendor systems
- Excellent analytical skills with a strong attention to detail
- Interest in financial services, an innovative take on banking and an unconditional drive to turn your ideas into reality
This is what you can expect
- A salary tailored to your qualities and experience
- Flexible working hours
- Reimbursement for travel expenses
- 24 vacation days with a 36-hour working week. If you work 40 hours a week, you will receive 27 vacation days
- Pension scheme
- 13th month salary
- Individual Savings Contribution, 3.5% of your gross annual salary
- 8% Holiday payment
- Personal growth and challenging work with endless possibilities to realize your ambitions