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Market Risk Officer

At a glance

<span style="font-family:"Arial",sans-serif">Are you good at finding the balance between day to day monitoring and reviewing tasks and work on projects like EBA Stress Testing or analysis of large datasets using Python? 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?

 

<span style="font-family:"Arial",sans-serif">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

<span style="font-family:"Arial",sans-serif">As our Market risk officer, you’ll be responsible for analysing the regulatory capital that ABN AMRO needs to hold against the Trading positions.

 

<span style="font-family:"Arial",sans-serif">It will be your responsibility to:

  • <span style="font-family:"Arial",sans-serif">Monitor positions versus limits and policies, communicate irregularities with the Senior Market Risk Officer.
  • <span style="font-family:"Arial",sans-serif">Assess market risks for new product proposals, one-off transactions, limit proposals and new activities & locations worldwide.
  • <span style="font-family:"Arial",sans-serif">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.
  • <span style="font-family:"Arial",sans-serif">Carry out analysis and delivering input for a definitive conclusion to Head of Market Risk Management and Senior Market Risk Officer.
  • <span style="font-family:"Arial",sans-serif">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

<span style="font-family:"Arial",sans-serif">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.

 

<span style="font-family:"Arial",sans-serif">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.

Team responsibilities

<span style="font-family:"Arial",sans-serif">At Risk Management, we’re accountable<span style="font-family:"Arial",sans-serif"> for a healthy relationship between risk and return. We use ABN AMRO’s moderate risk profile as a starting point. Our <span style="font-family:"Arial",sans-serif">Market & ALM/T Risk <span style="font-family:"Arial",sans-serif">team:

  • <span style="font-family:"Arial",sans-serif">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.
  • <span style="font-family:"Arial",sans-serif">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.
  • <span style="font-family:"Arial",sans-serif">Performs a regular review of the limits, the stress testing and stress scenario programmes as well as reviews of the portfolios.
  • <span style="font-family:"Arial",sans-serif">Monitors internal model performance through backtesting and benchmarking exercises.
  • <span style="font-family:"Arial",sans-serif">Performs acceptance tests on changes in the Market Risk Management infrastructure and reports results to the Head of Market Risk Management.
  • <span style="font-family:"Arial",sans-serif">Provides input for setting the functional risk requirements for projects. Identifies bottlenecks in the processes within Market Risk Management.

Requirements

<span style="font-family:"Arial",sans-serif">Essential:

  • <span style="font-family:"Arial",sans-serif">Master in Economics, Finance, Econometrics, Mathematics or a similar topic.
  • <span style="font-family:"Arial",sans-serif">Well informed on developments regarding market risk best practices, internal policies, regulation, product developments and liquidity of products.
  • <span style="font-family:"Arial",sans-serif">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.
  • <span style="font-family:"Arial",sans-serif">Proven knowledge of financial markets and traded products.

 

<span style="font-family:"Arial",sans-serif">Desired:

  • <span style="font-family:"Arial",sans-serif">Knowledge of valuation and risk models.
  • <span style="font-family:"Arial",sans-serif">Knowledge of capital management and regulatory requirements.
  • <span style="font-family:"Arial",sans-serif">FRM and/or CFA certification are a plus.
  • <span style="font-family:"Arial",sans-serif">Programming skills (e.g. Python).

What we offer

  • <span style="font-family:"Arial",sans-serif">Freedom to perform at your best, work flexibly and lots of room to grow.
  • <span style="font-family:"Arial",sans-serif">Help to stay fit and healthy.
  • <span style="font-family:"Arial",sans-serif">An additional benefit budget of 11%, which you can use to buy employment benefits in a flexible way.
  • <span style="font-family:"Arial",sans-serif">A personal development budget of EUR 1000 per annum.
  • <span style="font-family:"Arial",sans-serif">Free public transportation or a transportation budget, depending on function.
  • <span style="font-family:"Arial",sans-serif">A good pension scheme.

Interested?

<span style="font-family:"Arial",sans-serif">Keen to apply? Please share your motivation and send your resume. Don’t hesitate to reach out to <span style="font-family:"Arial",sans-serif">Jop Houwen at <span style="font-family:"Arial",sans-serif">jop.houwen@nl.abnamro.com<span style="font-family:"Arial",sans-serif"> before you apply. He is available for ‘virtual coffee chats’. <span style="font-family:"Arial",sans-serif">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:  18-Nov-2020
Requisition ID:  40125

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