Pricing Model Validation Quant

  • Competitive
  • Amsterdam, Noord-Holland, Netherlands Amsterdam Noord-Holland NL
  • Contract, Full time
  • PiC
  • 15 Mar 18 2018-03-15

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.