Valuation and Market Risk Model Validator - Amsterdam

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  • Posting Date: 06-08-2019
  • Vacancy number: 22492
At a glance
Your job

You will be working as a Model Validator in the team Valuation & Market Risk Model Validation. As a Model Validator you will perform high quality model validations mainly in the areas of derivatives valuation, market risk, and counterparty credit risk. You are encouraged to occassionally validate models from other categories in order to broaden your perspective.  Your validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices. As a validator you form an independent opinion on matters such as the mathematical consistency of the model, its suitability for its intended use, the accuracy of the model and its proposed implementation. You record your  findings in a validation report. Such a report will typically contain a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified. Depending on your experience with the model category of a particular validation, you will perform your activities with more or less help and guidance from a (Senior) Model Validator colleague.

 

Your working environment

The Model Risk Management department consists of four Model Validation teams (Innovation & Projects, Credit Risk Model Validation, ALM & Capital Model Validation and Valuation & Market Risk Model Validation) and one Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank.

Validation is a powerful tool in model risk management and is a regulatory obligation. In this context, validation refers to the critical inspection of a model by a department separate from the one developing the model. The findings of the validation are presented in a validation report. Such a report will typically contain a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified.

Your profile

You have a thorough understanding of financial mathematics and hold a Masters degree, and possibly a PhD, in a quantitative discipline (quantitative finance, pure or applied mathematics, econometrics, (theoretical) physics, engineering or similar).You have at least two years of relevant experience in quantitative finance. You have worked with valuation models, market risk models and/or counterparty credit risk models as a model developer, front-office quant, model validator or in a similar role.You can programme in Python or C++ and are able to familiarize yourself with a new programming language and/or a new tool in an efficient and self-steering manner.You can share verbally as well as in writing your knowledge on models. In this, you can communicate well with stakeholders of various backgrounds. You feel confident to present your validation results. Some knowledge of Dutch can be helpful in our wider working environment, but is not a prerequisite for this role.

What we offer

We are offering

  • The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
  • The opportunity to pro-actively work on your vitality and fitness
  • A salary in line with the Dutch market based on a 36-hour workweek
  • A supplementary benefit budget of 11%, which you can spend on additional fringe benefits
  • A personal development budget of EUR 1.000 per year
  • An annual public transportation pass or travel budget, depending on the function
  • A solid pension plan
Interested?

We are looking to recruit highly skilled people who can reinforce our team. We will be happy to receive your application if you think you meet the recruitment criteria. The interview process consists of multiple interviews in which we focus on your experience, skills and knowledge. Besides that we are also interested to learn more about you; what thrives you, what do you consider as your qualities and area(s) of development. Please get in touch with Tim Mexner (tim.mexner@nl.abnamro.com) and Hiltje Bijkersma (hiltje.bijkersma@nl.abnamro.com) in case you like to learn more about the position and get in touch with Arjan Zwaan (arjan.zwaan@nl.abnamro.com, Recruiter) if you like to learn moren about the interview process. 

Please only apply to one vacancy; the position that fits best with your experience, skills and knowledge.

 
 

Indication of Application Process

Step 1: Application

Fill out the information on the application form and upload your motivation letter and resume

Step 2: First interview

You will receive a confirmation of your application by e-mail. Within two weeks you will hear if you are invited for an interview

Step 3: Online assessment

You make an online cognitive test or an online assessment

Step 4: Second interview

You are invited for a second interview

Step 5: Job offer

You receive your job offer, once you have accepted it is time to start!

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