Model Validator IRRBB and Economic Capital
1 maand geleden
The Model Validator is a member of 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, its accuracy, and its proposed implementation. The findings of the validation are presented in a validation report, which typically 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. Depending on their experience, the Model Validator levels I and II perform the activities 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, which typically 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.
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 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 an 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 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 a 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.
Specific Knowledge
Knowledge and understanding of experience with Time series analyses and forecasting; Monte-Carlo simulation; Behavioral models; Econometrics and/or fundamentals 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 programs, in particular Word and Excel. Knowledge of ABN AMRO’s data landscape and business objectives is a plus. 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 you consider as your qualities and area(s) of development. Please get in touch with Sabrina Wandl (sabrina.wandl@nl.abnamro.com, Team Lead) in case you like to learn more about the position and get in touch with Willemijn Franken-Bary (willemijn.franken-bary@nl.abnamro.com), Recruiter, if you like to learn more about the interview process. Equal Opportunities for All
The success of our organization 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 organization. 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 for 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.
-
Model Validator IRRBB and Economic Capital
1 maand geleden
Amsterdam, Nederland ABN Amro VoltijdModel Validator IRRBB and Economic CapitalAt a glanceYour jobThe 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...
-
Model Validator IRRBB and Economic Capital
3 dagen geleden
Amsterdam, Nederland ABN AMRO VoltijdYour job The Model Validator is a member of 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...
-
Model Validator
3 weken geleden
Amsterdam, Nederland ABN AMRO VoltijdThe Model Validator is a member of 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...
-
Senior Model Validator IRRBB, CSRBB
2 uur geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleWe are seeking a highly skilled Senior Model Validator to join our global Model Validation department at ING. As a key member of our team, you will be responsible for assessing the quality and accuracy of our financial models, ensuring they meet regulatory requirements and are fit for purpose.Key ResponsibilitiesAssess the fundamental...
-
Senior Model Validator IRRBB, CSRBB
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleWe are seeking a highly skilled Senior Model Validator to join our global Model Validation department at ING. As a Senior Model Validator, you will play a critical role in ensuring the accuracy and reliability of our models used for Asset & Liability Management (ALM).Key ResponsibilitiesAssess the quality of input data, system implementation,...
-
(Medior) Model Validator
4 maanden geleden
Amsterdam, Nederland Vye Professionals | Experts in Quants VoltijdAbout the company Our client is on the trend of greater use of models. Driven in part by regulation but the growing reliance on models manifests in all areas of the company. For risk management purposes the company has models in place for a.o. credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet. These models...
-
Risk Model Validator
1 uur geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleWe are seeking a highly skilled Risk Model Validator to join our team at ING. As a Risk Model Validator, you will play a critical role in safeguarding the quality of our models, which are used for reporting and decision-making purposes.Key ResponsibilitiesValidate Market, Counterparty Credit, and Valuation Risk models used by ING...
-
Credit Risk Model Validator
3 maanden geleden
Amsterdam, Nederland ING VoltijdING is looking for experienced **Risk Professionals. **The Credit Risk Model Validation Team is an energetic international team of highly qualified professionals within the Model Risk Management department. This fast growing team is responsible for validating the risk models used by ING worldwide. We assure that models are appropriate for the intended use...
-
Senior Risk Model Validator
4 maanden geleden
Amsterdam, Nederland Ayvens VoltijdAt ALD Automotive | LeasePlan, we are always asking What's next in mobility. Join our team and be part of a dynamic, exciting and engaging business, so we can discover What’s next together!You are responsible for:For our Senior Risk Model Validator vacancy we are looking for a new colleague at our Amsterdam based office. The model validation team is...
-
Quantitative Model Validator
1 uur geleden
Amsterdam, Noord-Holland, Nederland ABN Amro VoltijdAbout the RoleWe are seeking a highly skilled Quantitative Model Validator to join our team at ABN AMRO. As a Model Validator, you will be responsible for technical and high-quality validations of various models used in our organization.Your primary focus will be on ensuring the mathematical consistency and accuracy of our models, as well as their...
-
Risk Model Validator
2 maanden geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAs model validators we safeguard the quality of ING's models, which are used for all kinds of reporting and decision-making purposes, and which must therefore be correctly designed and implemented. Due to the challenges of validating models, Model Validation teams at ING have been substantially growing and will further grow.The teamThe Model Validation...
-
Model Risk Management Specialist
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleWe are seeking a highly skilled Senior Model Validator to join our global Model Validation department at ING. As a Senior Model Validator, you will play a critical role in ensuring the accuracy and reliability of our IRRBB, CSRBB, and Liquidity Risk models.Key ResponsibilitiesAssess the quality of input data, system implementation, and model...
-
Senior ALM Model Developer
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleWe are seeking a highly skilled ALM Model Developer to join our team at ING. As a key member of our Asset and Liability Management (ALM) modelling team, you will be responsible for developing and maintaining complex financial models that drive business decisions.Key ResponsibilitiesDevelop and implement advanced ALM models to manage interest...
-
Quantitative Risk Model Validator
8 minuten geleden
Amsterdam, Noord-Holland, Nederland Vye Professionals | Experts in Quants VoltijdAbout the CompanyVye Professionals | Experts in Quants is a leading provider of quantitative risk management solutions. Our client is a forward-thinking organization that has recognized the importance of model-driven decision making in today's fast-paced financial landscape.About the JobWe are seeking a highly skilled Model Validator to join our team. As a...
-
Quantitative Model Validator
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ABN Amro VoltijdPosition OverviewAre you equipped with a critical analytical mindset and a passion for scrutinizing mathematical models for validation? Do you possess a quantitative background coupled with an interest in climate and environmental risks? We invite you to explore this opportunity.ABN AMRO stands as a prominent Dutch financial institution with a significant...
-
Senior Quantitative Model Validator
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleING is seeking a highly skilled Senior Quantitative Model Validator to join our Pricing Model Validation team. As a Senior Quantitative Model Validator, you will be responsible for validating XVA models used by ING Financial Markets.Key ResponsibilitiesPerform in-depth validation of XVA models, analyzing their suitability and shortcomings, and...
-
Climate Risk Model Validator
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ABN Amro VoltijdPosition OverviewAre you equipped with a critical analytical mindset and a passion for assessing mathematical models? Do you possess a quantitative background along with an interest in climate and environmental risks? If so, we invite you to explore this opportunity.ABN AMRO, a prominent Dutch financial institution with a robust international footprint, is...
-
Quantitative Model Validator
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ABN Amro VoltijdAbout the RoleWe are seeking a highly skilled Quantitative Model Validator to join our Valuation and Market Risk Model Validation team at ABN Amro. As a key member of our team, you will be responsible for technical and high-quality validations of various financial models, including valuation models, market risk models, and climate & environmental risk...
-
Venture Capital Investment Analyst
6 dagen geleden
Amsterdam, Noord-Holland, Nederland Holland Capital VoltijdAbout Holland CapitalHolland Capital is a leading investment firm with a strong reputation and a good track record in the venture capital industry.Our TeamWe have a fun and entrepreneurial team of motivating professionals with diverse backgrounds, who are passionate about VC, entrepreneurship, and a fast-paced working environment.About the RoleSupport the...
-
Senior ALM Model Architect
6 dagen geleden
Amsterdam, Noord-Holland, Nederland ING VoltijdAbout the RoleAs a key member of our ALM (Asset & Liability Management) modelling division, you will engage with a dynamic group of highly skilled professionals dedicated to the creation and enhancement of ING's global ALM models. These models are essential for managing interest rate risk, liquidity, and capital adequacy. You will collaborate closely with...
