Quantitative Risk Analyst (IFRS9, Stress Testing and Operational Risk) - Amsterdam

Solliciteer
  • Plaatsingsdatum: 21-03-2019
  • Vacaturenummer: 21222

At a glance

We are looking for skilled medior quantitative risk analysts who have a solid quantitative background and a passion for working with advanced techniques to unlock the valuable information contained in historical data.

What do you see when you envision the next step? Work on achieving your goals and develop yourself professionally and personally. Tell us your story. We want to hear it!

Your job

As a medior quantitative risk analyst, you will significantly contribute to delivering important project goals, coaching junior colleagues and continuously improving our models. You will work in close collaboration with our stakeholders to maximize the impact of our models for the bank. As a medior quantitative risk analyst you will work on one or more projects. Examples of projects are:
• Modelling transition probabilities between credit states for IFRS9 and stress testing. Key modelling techniques: times series analysis, Bayesian inference and optimization techniques.
• Modelling operational losses for our advanced measurement approach (AMA) model for operational risk. Key modelling techniques: extreme value theory and copulas.Understanding our business and our historical data is the starting point of all projects. This means that you are in close contact with business stakeholders. Also, checking and pre-processing historical data is a crucial part of the work.
 

Your working environment

ABN AMRO is a leading Dutch bank, with an international presence across Europe, Asia Pacific, and the Americas. Our bank believes in risk models for better banking and financial stability.
The models developed in the IFRS9, Stress Test and Operational Risk modelling team are state-of-the-art and at the forefront of the financial industry.
We are a team of ambitious, talented and smart people from all over the world. We work in a stimulating environment where team members have the opportunity to keep learning and make a positive impact for the bank and its clients.
 

Your profile

Please consider the following questions:
• Do you have a strong quantitative education in a field such as physics, mathematics or econometrics?
• Are you experienced in programming languages suited for model building and data analysis, such as Python, Matlab and/or SAS?
• Do you have at least 3 years of work experience in risk modelling (preferably on at least one of the following subjects: IFRS9, Stress Test and/or Operational Risk)?
• Do you have a track record of successfully contributing to model building projects?
• Are you ambitious and do you want to continuously improve yourself?
• Do you work well within a team?If this sounds like you, then please apply!
 

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 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
  • A solid pension plan
  • An informal multi-cultural working environment with great colleagues;
  • Challenging work on complex and advanced quantitative problems;
  • Career development and the possibility to gain experience in all areas of risk modelling, in other business areas of the bank, or in one of our international locations.
     

Interested?

We have an ongoing recruitment process for highly skilled people who can strengthen our team. We are 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 in learning more about you; what drives you, what do you consider as your qualities and areas of development.
Please contact Joris van Velsen (joris.van.velsen@nl.abnamro.com, Team Lead) if you would like to learn more about the position, or get in touch with Maike Daub (maike.daub@nl.abnamro.com, Recruiter) to learn more about the interview process.

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