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Senior Quantitative Risk Analyst II (100243)

At a glance

ABN AMRO Risk modelling is searching for a Senior Quantitative Risk Analyst (ALM) that makes the difference by designing models and innovative sophisticated solutions for ALM models. In addition you will also lead a small team of modelling professionals. Are you interested in further developing your expertise in applying new techniques in state of the art models? Can you build a successful team and help the analysts in their professional development? What is your next step?
Pursue your objectives and continue to grow professionally as well as personally. Tell us your story. We want to hear it!

Your job

As a Senior Quantitative Risk Analyst (ALM) you make the difference by designing models and innovative sophisticated solutions in a team of accomplished professionals. You deepen your expertise in applying new techniques in state of the art models. Your work with the model owners and the business to understand their needs and decide on the appropriate modelling techniques, develop, implement, evaluate and improve the models and provide training to the model users. In addition to this, you will also manage the team of analysts that is responsible for the liquidity risk models. In this role you will coach the team members in their professional development and perform the regular HR tasks.

Your working environment

ABN AMRO Risk Modelling is a diverse international team of more than 90 professionals. We are responsible for the development of quantitative risk models that inform the bank in its daily decisions, from the pricing of deals and granting of customer credits to setting and monitoring risk limits and determining the capital requirements. We maintain an open atmosphere, with intellectually stimulating discussions on whiteboards, wherein mutual feedback supports our continuous personal growth. The Liquidity Risk modelling team is one of the three teams in the ALM & Market Risk Modelling cluster and in this role you will report to the cluster lead ALM & Market Risk Modelling.

Your profile

We are looking for a pro-active quantitative modeller, with the skills and ambition to lead a team of professionals, who is an excellent team player and able to work independently and under pressure. Do you think you fit this profile? Check the required qualifications:

  • A MSc or a PhD in the field of econometrics, mathematics or physics
  • Given the international diversity of the team, fluency in written and spoken English is a must
  • At least 6 years of work experience in financial institutions in one or more of the modelling areas: ALM, Markets, Credit, or Economic Capital
  • Good understanding of liquidity and/or interest rate risk management
  • Familiar with techniques like Monte-Carlo simulation techniques, statistics, stochastic calculus, pricing and machine learning
  • Ample programming knowledge and experience with scientific computing in Python; experience with MATLAB, R, C++, SAS and cloud computing is an advantage
  • Experience in coaching junior quantitative analysts
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 salary ranging from EUR 61.562 to EUR 87.936 per year based on a 36-hour workweek
  • 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, depending on the function
  • A solid pension plan
  • An intellectually stimulating working environment
  • Challenging work on complex and advanced quantitative problems
  • A wide range of training opportunities, development and the possibility to gain experience in all areas of risk modelling

We are ongoing recruiting highly skilled people who can reinforce our team. We are happy receiving 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 Lennart Gerlagh (lennart.gerlagh@nl.abnamro.com, Team Lead) in case you like to learn more about the position and get in touch with Gabry van Beek (gabry.van.beek@nl.abnamro.com, Recruiter) if you like to learn more about the interview process.




Amsterdam, Noord-Holland, Netherlands

Job Posting Date: 
Requisition ID:  22060

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