Model Validator IRRBB and Economic Capital - Amsterdam, Nederland - ABN Amro

Beschrijving

Your job

The Model Validator is a member the ALM & Capital Model Validation team. The Model Validator performs high-quality validations mainly in the ALM & Capital domain. 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. The validator forms 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. 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. Depending on their experience the Model Validator levels I and II perform the activities to be described in this section with more or less help and guidance from a (Senior) Model Validator.

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.

The ALM & Capital Model team validates the models employed for managing the market (e.g. interest rate) and liquidity risks associated with the products in the banking book of the ABN AMRO Bank. The scope of this validation team includes a variety of models ranging from the behavioral Interest Rate Mortgage Model to Market Risk in the Banking Book Economic Capital model. The validator in this team has a key role of:

• assessing the quality of the data used for the development of the prototype model;
• examining the correctness of the methodology and assumptions;
• forming independent opinion on the model's performance;
• assessing the compliance of the model with respect to internal and external regulations;
• checking the final implementation of the model in the production environment;

The team examines, verifies, and challenges various modeling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analyzing the key components of the model the validator identifies issues, proposes improvement opportunities, identifies the model risk, and shares the result with relevant parties. The team creates high-quality validation reports and provides them to the senior management as well as to other key stakeholders. The ALM & Capital Model Validation team has the mandate to escalate the issues to the CRO of the bank.

Your profile

General
- University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A Ph.D and/or additional. Qualification (e.g. FRM, CFA, CQF certificates, or second Master's degree in economics, finance or similar) is desirable.
- At least 2 years of relevant work experience in a quantitative role in the financial industry (e.g. modeler, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
- Full English professional proficiency, and the ability to influence internal stakeholders.

Specific knowledge
Knowledge, understanding of and experience with
- Time series analyses and forecasting;
- Monte-Carlo simulation;
- Behavioral models;
- Econometrics and/or fundaments of Mathematical Finance, Statistical and Numerical Methods used in Quantitative Finance.

- Experience with and understanding of Interest Rate Risk, Liquidity Risk, Funds Transfer Price and/or Economic Capital models.
- Experience in handling, pre-processing and assessing the quality of (large) data sets.
- Experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.
- Working knowledge of MS Office programmes, in particular Word and Excel.
- Knowledge of ABN AMRO's data landscape and business objectives is a plus.

We are offering

We are offering

• International multi-cultural working environment
• Great colleagues
• Challenging work
• Unique opportunity to interact with multiple departments within the bank
• Flexible working hours
• Future career development
• Wide range of training courses
• Competitive salary and excellent benefits
• The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
• 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
• A solid pension plan

Interested?

At ABN AMRO, we use our knowledge, expertise and network to help our clients within and outside the Netherlands achieve their goals based on responsible decisions. Our client's interests always come first. We want clients to understand our products, and we sometimes say 'no' if a product involves a risk that is too high for the client. Putting clients' interests first also means communicating in plain language and crafting smart solutions that genuinely make a difference. That is our goal.

We are ongoing recruiting highly skilled people who can reinforce 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 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 Sabrina Wandl , Team Lead) in case you like to learn more about the position and get in touch with Emmy Horsch - van Zuylen , Recruiter if you like to learn more about the interview process.

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.

Wij vragen

• Samenwerkingsgerichtheid

Wij bieden

• Analytische skills