Quantitative risk modeller

Algemene omschrijving

Company Profile Risk Modeller
Risk Modeller for a big international bank. As a quantitative risk modeller you're working at the Risk department which is responsible for enterprise wide Risk identification and assessment. It includes activities such as stress testing and ICAAP.

Job Profile Risk Modeller
Economic Capital is a new task at this deparment. The Economic Capital team is responsible for modeling and reporting of economic capital within the Group. It coordinates policy and use of economic capital and advises senior management on the key assumptions and the outcomes. Within the team tasks may be allocated on basis of individual preferences and expertise.
Your role as a risk modeller:

• responsible for developing and maintaining economic capital models, including but not limited to credit, operational and risk aggregation.


• Advising, and if needed, participates in developing and maintaining economic capital models for market risk, pension risk and interest rate risk


• Monitor industry and academic research and advises on new developments in modelling


• Support the reporting of economic capital


• Discuss and explain modeling issues to users

• Quantitative study is a requirement (econometrics, mathematics, physics, computer science) 


• PhD preferabel


• Experience with developing, testing and validating models


• Good knowledge of quantitative risk modelling (ideally more than one risk type), including experience with economic capital modeling


• Banking experience of circa 4-5 years


• Strong IT affinity, programming knowledge in at least one of C++ or Matlab and ideally also SQL and SAS skills

Uren

32 - 40 uur