Model Validation Quant - Oprisk/Market risk - SPONSORSHIP OPPORTUNITY
Amsterdam, Noord-Holland, Netherlands
Main Responsibilities are:
- Technical review of risk models, including performing quantitative analyses.
- Writing high quality validation reports (read by e.g. senior management, CRO staff, audit, etc).
- Preparing (parts of) reports for e.g. the Executive Board, CRO staff.
- Participating in/representing MV in meetings with e.g. model developers, senior management, internal & external audit, the European Central Bank.
Your model scope is broad and includes:
- Trading risk models (e.g. Historical VaR, IRC, Stressed VaR, CVA, Event Risk, FRTB models)
- Banking book models (ALM/IRRBB; e.g. mortgage/savings valuation & hedging/replication, client behaviour models (e.g. for loan prepayments, savings withdrawals), risk reporting models (Earnings-at-Risk, NPV-at-Risk etc.))
- Economic capital models.
- Operational risk models (AMA)
- Has a MSc or PhD degree in (Financial) Econometrics, Financial Mathematics or Quantitative Financial Economics.
- Is familiar with market risk related topics, e.g. VaR, financial derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, financial economics.
- Has experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
- Has programming experience in e.g. Matlab, VBA.
- Has excellent communication, writing & reporting skills in English.