Model Validator Valuation & Market Risk

At a Glance

Do you have an independent positive critical mindset and do you like to analyse mathematical models in order to validate them? Do you have a quantitative background, combined with an interest in climate & environmental risks? We need you!

ABN AMRO is a leading Dutch bank, with an international presence across Europe. We are looking for skilled quantitative model validators who have a solid quantitative background and a passion for working with advanced techniques. Our team is expanding to incorporate climate & environmental risk in various models.

The Valuation and Market Risk Model Validation team is looking for new team members. Our team is located in the Dealing Room of ABN AMRO.

Your job

As a Model Validator in the Valuation & Market RIsk Model Validation team, you are responsible for technical and high quality validations of:

• Valuation models used to price derivatives.
• Market Risk (MR) models.
• Counterparty Credit Risk (CCR) models.
• Client Advisory models.
• Clearing Bank related models.
• Climate & Environmental Risk (CER) models.

These 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 specialist you form an independent expert opinion on the mathematical consistency of the model, its suitability for the intended use, the accuracy of the model and its proposed implementation, model performance, as well as quality of the data which is used in modelling process. The findings of the validation are presented in a validation report, which contains 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. Model Validation has a mandate to escalate the issues to the CRO of the bank.

Working environment

The Model Risk Management department consists of four Model Validation teams (Innovations & Projects, Credit Risk Model Validation, ALM & Capital Model Validation, Valuation & Market Risk Model Validation) and one Model Risk Management Oversight team. 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.

The Model Validation teams operate independently of the model development departments at ABN AMRO to ensure the objectivity of the validation process. It covers the model risk dimensions of data, methodology, implementation and use. The outcome of the validation process affects every level of the organisation – from individual client acceptance to strategic decision making and steering.

The Valuation & Market Risk Model Validation team consists of specialists with diverse cultural background, academic and working experience. By working within the team you will be able to enjoy a dynamic and open environment which relies on flexible mind-set, collaboration and discussion, and encourages taking initiative and responsibility.

Your profile

• University degree in a quantitative discipline, such as (applied) mathematics, (applied) physics, econometrics, applied earth science or similar, at least at Master level.
• Any additional qualification in finance is desirable.
• Relevant work experience and/or in related (financial) research is desirable.
• Affinity with (or interest in) financial markets.
• Experience with and understanding of one or more of the following type of models or areas is preferred: Derivative pricing, market risk models, statistical and numerical methods used in quantitative finance, climate & environmental risk models.
• Experience and affinity with programming in Python and/or C++.
• Good communication skills.
• Full business proficiency in English.

We are offering

•  The gross monthly salary displayed above is based on a 36-hour work week, including vacation pay and benefit budget.
• The Benefit Budget is 11% of your salary. The Benefit Budget allows you to acquire additional employment benefits. If you make no purchases or reservations in the Benefit Shop in a given month, you are paid one twelfth of your Benefit Budget that month.
• Five weeks of vacation per year. You have the option to purchase an additional four weeks per year.
• Personal development Budget of € 1,000 per year, which you can accumulate up to € 3,000.
• Possibility to work from home (in consultation with your team and depending on your position).
• An annual public transport pass with free public transportation throughout the Netherlands.
• An excellent pension scheme.

Interested?

We are always recruiting highly skilled people who can reinforce our team. We are happy receiving your application if you think you meet the (most of 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 drives you, what do you consider as your qualities and area(s) of development.

Please get in touch with Jeroen van Eijndhoven (jeroen.van.eijndhoven@nl.abnamro.com) in case you like to learn more about the position.

Equal opportunities for all

The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.

Disclaimer external recruitment agencies

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. No unsolicited services or offers, please.