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Job

Model Validator Market Risk

  • Location

    Amsterdam, Netherlands

  • Sector:

    Financial Services and Banking

  • Job type:

    Permanent

  • Salary:

    Competitive

  • Contact:

    Charlie Morris

  • Contact email:

    chaarlie7@gmail.com

  • Salary high:

    0

  • Salary low:

    0

  • Published:

    13 days ago

  • Expiry date:

    2020-03-31

  • Startdate:

    ASAP

 

Our client, a global sytemmatically important bank based in Amsterdam are looking for high potential junior, medior & senior candidates to strengthen the “Market Risk” model validation team (MV), covering Trading, Counterparty Credit Risk, Interest Rate Risk in the Banking Book (IRRBB), Liquidity Risk & Operational Risk models within the bank's brand new Model RiskManagement department.

Job Description

As a model validator your key responsibilities are:

  • Technical review of risk and pricing models. Main focus areas are assessing the conceptualsoundness and developmental evidence of a model, as well as the compliance with regulationand performing quantitative analyses & independent testing.

  • Writing high quality, detailed validation reports. These include a model risk assessment and recommendations for model improvement. These reports are shared and discussed with e.g.senior management, CRO staff, internal and external audit, the ECB and other regulators.

  • Preparing reports/adhoc requests for e.g. the Executive & Supervisory Board, CRO staff.

  • Interacting with model developers, ECB (e.g. during onsite inspections), senior management,internal & external audit etc, in which your report and recommendations will be discussed andchallenged.

    Your model scope is broad and includes:

  • Trading Risk models: IMA, e.g. Historical VaR, IRC, Stressed VaR, Event Risk, Economic Capital, Stress Testing. SIMM: standard initial margining model.

  • Trading Risk models: FRTB, e.g. Expected Shortfall, NMRF, SA etc.

  • Counterparty Credit Risk models, e.g. CVA HVaR, CVA EC, Advanced CVA, Wrong

    Way Risk, Internal Model Method (IMM), SA-CCR, Stress Testing etc.

  • Interest Rate Risk in the Banking Book models: client behaviour models (prepayments, savings withdrawals), savings & (mortgage) loan valuation, hedging & replication and risk reporting models (EaR, NPVaR, EVE, Economic Capital)

  • LiquidityRiskStressTestingmodels

  • OperationalRiskmodels:AMA

  • Models for the bank's Risk Appetite Framework, Business Risk & Stress Testing

Moreover, this scope will be further expanding over time to also include non- regulatory models (inwhich e.g. machine learning, big data and artificial intelligence play an increasingly important role).

These models are amongst others used for measuring and managing various risk types in trading & banking books, and for calculating regulatory and economic capital under the Basel regulations.

Personal profile:

  • Has a strong quantitative PhD (or MSc) degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Applied Mathematics, Statistics etc.

  • Knowledge of Machine Learning and Big Data is welcomed.

  • Is familiar with/proficient in market and/or other risk related topics, e.g. VaR, financial products/derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, GARCH, financial economics, liquidity risk, ALM, IRRBB, counterparty credit risk etc.

  • 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, C++.

  • Has excellent communication, writing & reporting skills in English.

​The Offer:

  • A market conform salary (depending on relevant knowledge and experience). • A 40h (or 36h) working week.
  • A 13th month.
  • A public transport ticket for the Netherlands
  • Contribution to individual savings
  • Possibilities for training
  • An empowering culture & future career opportunities within