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Job

ALM & Capital Model validator

  • Location

    Amsterdam, The Netherlands

  • Sector:

    Financial Services and Banking

  • Job type:

    Permanent

  • Contact:

    Sofía Soto Hernández

  • Contact email:

    s.hernandez@hamlynwilliams.com

  • Salary high:

    0

  • Salary low:

    0

  • Job ref:

    ALM & Capital Model validator

  • Published:

    about 2 months ago

  • Expiry date:

    2022-06-05

  • Startdate:

    ASAP

Hamlyn Williams is partnered with one of the leading investment banks within the Netherlands who is currently recruiting for their Model Risk Management department.

As a model validator you will perform high quality validations mainly in the ALM and Capital domain. These validations will contribute to identify and reduce the model risk in line with internal and external requirements and ensuring the best market practices. 

As a model validator you will:

  • Assessing the quality of the data used for the development of the prototype model as well as the compliance of the model with respect to internal and external regulations;
  • Examining the correctness of the methodology and assumptions;
  • Checking the final implementation

As a model validator you will need:

  • Master's degree in a quantitative discipline, e.g. Financial mathematics, Physics, Econometrics or similar. A PhD and/or additional qualification (e.g. FRM, CFA) is desirable
  • At least 2 years of relevant work experience in a quantitative role in the financial industry.
  • Full professional proficiency of English, capable to influence internal stakeholders
  • Time series analyses and forecasting, Monte-Carlo simulation and Behavioral models.
  • Experience with and understanding of Interest Rate Risk, Liquidity Risk, Funds Transfer Price and/or Economic Capital models.
  • Experience with programming languages e.g. Python, MATLAB, C++ and/or database tooling e.g. SQL, SAS

I am a Risk & Quant Analytics specialist working with a large variety of clients across the Financial Services industries in Benelux and Dachs. If this role is of interest to you, or if you’d like to explore other opportunities in the market, please feel free to reach out directly. Contact Sofia Soto at 020 399 3478 or at s.hernandez@hamlynwilliams.com.

Select the Apply button below or contact me directly.

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