Senior Quantitative Regulatory Modelling Analyst - Amsterdam

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  • Posting Date: 12-07-2019
  • Vacancy number: 22239
At a glance

We need you!

ABN AMRO is a leading Dutch bank, with an international presence across Europe, Asia Pacific, and the Americas. We are looking for skilled quantitative regulatory modelling analysts, both senior and junior, who have a solid quantitative background  complemented with a thorough understanding of the regulatory requirements underlying the internal models for credit risk.

Your job

As a quantitative regulatory modelling analyst you will translate current and proposed regulatory requirements such as EBA Guidelines on PD and LGD estimation into instructions a credit risk modeller can use in developing regulatory compliant IRB models. Furthermore, the team is also responsible for the quality assurance of initiatives within the bank which affect the modelling process. For example reviewing Basel IV requirements, reviewing the application of modelling guidelines to model developments and instructing the modelling department.

In your day-to-day job you will work in multidisciplinary project teams. You closely work together with modellers, policy department and the business in order to ensure that the models properly reflect the regulation, the business and processes. You will work-out frameworks which describe the suitable quantitative methods and techniques and qualitative requirements for the respective IRB models.

As a (senior) analyst you take responsibility on the framework development process and Quality Assurance tasks among other activities as well as being actively involved in stakeholder management of both internal and external parties including the DNB and ECB. Overall you apply your quantitative skills and experience to make a positive impact for the bank and its customers. You will contribute significantly to the success of your team, which includes both junior analysts and medior risk analysts. As a senior quantitative position you will have to be able to take a leading role, if required, to guide junior/medior colleagues and lead small projects if required.

Your working environment

ABN AMRO Risk Modelling is a growing, international team of more than 90 professionals. We are the centre of excellence within the bank for developing quantitative risk models, which inform the bank in its daily decisions, from pricing of deals and granting of customer credits, through to setting and monitoring of market risk limits and determining the capital requirements for the bank.

The risk modelling department plays a key role in ensuring that the bank makes informed, data driven decisions. The main focus is the development and maintenance of our Credit Risk models which cover a large part of the balance sheet. These models are key to the existence of the bank as they form the basis for loan approval, pricing, performance management and regulatory capital.

Your profile
  • Minimum of 5 years of work experience in quantitative analysis within risk modelling in banking and finance
  • Quantitative academic education (Master’s Degree or PhD) in a relevant field, like econometrics, mathematics, actuarial studies or physics
  • Excellent knowledge of statistics, econometrics, financial mathematics, stochastic calculus
  • Exceptional understanding on regulatory requirements regarding internal models for credit risk - internal ratings based approach (IRB) - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines.
  • Excellent skills in software packages for statistical and data analysis, such as Python, SAS, R, and MATLAB
  • Excellent communication skills (verbal and written) in English
  • Able to work independently and under pressure
  • Pro-active a “can do” mentality as well as collaborative attitude
  • Team player and goal oriented profile
What we offer
  • Multicultural working environment with great colleagues from different nationalities
  • Challenging work on complex and advanced quantitative problems
  • Attractive package (depending on your level of seniority you are allocated to the according salary scale)
  • Flexible and fun working environment
  • Wide range of training opportunities
  • Career development and the possibility to gain experience in different areas of risk modelling, in other business areas of the bank, or in one of our international locations
Interested?

Please submit your application online. In case you have any questions regarding this position; please get in touch with Mireia Gozalbo (Mireia.Gozalbo.Querol@nl.abnamro.com) responsible for Quality Assurance & Regulatory Compliance within Risk Data Analytics Department.

We are looking forward to hear from you!