Model Validation Quant - Market Risk
- Amsterdam, Noord-Holland, Netherlands
- Permanent, Full time
- 25 Jan 18 2018-01-25
Excellent permanent opportunity to become part of a global team within a leading Investment Bank, providing quantitative expertise required for model validation.
Some of your key responsibilities will be:
- Write validation reports providing a quantitative assessment and documentation of the tests performed, to be read by senior management, CRO staff, audit, etc.
- Preparing sections of reports for the Executive Board and CRO staff.
- Technical review of risk models, including performing quantitative analyses.
- Participating in and also representing Model Validation in meetings with e.g. model developers, senior management, internal & external audit, the European Central Bank.
This is an opportunity to work on a broad model scope which includes:
- Banking book models (client behaviour models, risk reporting models ALM/IRRBB)
- Trading risk models (Historical VaR, IRC, Stressed VaR, CVA, Event Risk, FRTB models)
- Operational risk models (AMA)
- Economic capital models.
You will need:
- You must speak and write fluent English. This is required because the work is carried out in the English language. Strong communication with excellent interpretation and presentation skills.
- A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering)
- Familiarity with market risk related topics, such as time series models, financial economics, stochastic calculus, interest rate models, (financial) econometrics VaR and financial derivatives
- Experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
- Programming experience in e.g. Matlab, VBA.