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Market Risk Officer

At a glance

Are you good at finding the balance between day to day monitoring and reviewing tasks on the one hand, and work on projects like EBA Stress Testing or analysis of large datasets using Python
on the other? Do you have an understanding of the valuation of derivatives, of risk models and capital markets dynamics? And are you a collaborative, team-oriented, and proactive professional who’s eager to align market risks with business goals and impact? 

At Market & ALM/T Risk, we’re looking for a Market risk officer that oversees the market risk of all global Trading and Treasury books, covering all asset classes to monitor whether positions are within limits and mandate. 
 

Your job

As our Market Risk officer, you’ll be responsible for analysing the regulatory capital that ABN AMRO needs to hold against the Trading positions.

It will be your responsibility to:
•    Monitor positions versus limits and policies, communicate irregularities with the Senior Market Risk Officer. 
•    Assess Market Risks for new product proposals, one-off transactions, limit proposals and new activities & locations worldwide. 
•    Draw up a suitable risk report and provide it to the Head of Market Risk Management and Senior Market Risk Officer for approval. Potential topics for risk reports are proposals for new products or increases in business limits. The risk reports facilitate a proper assessment by the relevant risk committees. 
•    Carry out analysis and delivering input for a definitive conclusion to Head of Market Risk Management and Senior Market Risk Officer. 
•    Coordinate communication with business and outside risk management with the Senior Market Risk Officer and inform the Head of Market Risk Management on material 1st line proposals.
 

Work environment

Our Risk Management department consists of three teams: Market Risk Trading Book, Market Risk Banking Book and Liquidity & Capital Risk Management. We are a team of 21 people with different backgrounds, nationalities, roles and personalities. The context of this function concerns an environment of increased complexity and dynamics in products, type of business, regulations and the global environment. 

Portfolios in the scope of our department are Treasury, Banking Book, Rates, Credit, Foreign Exchange, Commodities, Equity, Securities Finance and Clearing and the risks related to Pension obligations.

At Risk Management, we’re accountable for a healthy relationship between risk and return. We use ABN AMRO’s moderate risk profile as a starting point. Our Market & ALM/T Risk team:

•    Reviews and assesses risks, checks whether the business operates within the defined limits and mandates, interprets and implements regulations, designs policies, develops risk models and opines on business proposals. 
•    Provides input for risk or model reports that are relevant to external parties (including DNB and ECB), such as backtesting analyses, Market Risk solvency requirements and stress testing.
•    Performs a regular review of the limits, the stress testing and stress scenario programmes as well as reviews of the portfolios. 
•    Monitors internal model performance through backtesting and benchmarking exercises. 
•    Performs acceptance tests on changes in the Market Risk Management infrastructure and reports results to the Head of Market Risk Management. 
•    Provides input for setting the functional risk requirements for projects. Identifies bottlenecks in the processes within Market Risk Management.
 

 

Requirements

Essential:
•    Master in Economics, Finance, Econometrics, Mathematics or a similar topic.
•    Well informed on developments regarding Market Risk best practices, internal policies, regulation, product developments and liquidity of products.
•    2 to 10 years of experience in Market Risk Management, Asset & Liability Management or Trading related function in a global environment. Depending on your experience level, we will discuss a junior, medior or senior position.
•    Proven knowledge of financial markets and traded products.

Desired:
•    Knowledge of valuation and risk models.
•    Knowledge of capital management and regulatory requirements.
•    FRM and/or CFA certification are a plus.
•    Programming skills (e.g. Python).
 

 

What we offer

•    Freedom to perform at your best, work flexibly and lots of room to grow.
•    Help to stay fit and healthy.
•    For this role we offer a salary depending on your experience level.  
•    An additional benefit budget of 11%, which you can use to buy employment benefits in a flexible way.
•    A personal development budget of EUR 1000 per annum.
•    Free public transportation or a transportation budget, depending on function.
•    A good pension scheme.
 

Interested?

Keen to apply? Please share your motivation and send your resume via T2G. Don’t hesitate to reach out to Jop Houwen at jop.houwen@nl.abnamro.com before you apply. He is available for ‘virtual coffee chats’. We look forward to meeting you.

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.
Location: 

Amsterdam, Noord-Holland, NL

Job Posting Date:  15-Jan-2021
Requisition ID:  40125

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