At a... We are looking for skilled senior quantitative risk analysts who have a solid quantitative background and a passion for working with advanced techniques to unlock the valuable information contained in historical data. Your...
We are looking for skilled senior quantitative risk analysts who have a solid quantitative background and a passion for working with advanced techniques to unlock the valuable information contained in historical data.
As a senior quantitative risk analyst, you will be responsible for delivering important project goals, coaching junior colleagues and continuously improving our models. You will work in close collaboration with our stakeholders to maximize the impact of our models for the bank.
As a senior quantitative risk analyst you will lead one or more projects. Examples of projects are:
• Modelling transition probabilities between credit states for IFRS9 and stress testing. Key modelling techniques: times series analysis, Bayesian inference and optimization techniques.
• Modelling operational losses for our advanced measurement approach (AMA) model for operational risk. Key modelling techniques: extreme value theory and copulas.
Understanding our business and our historical data is the starting point of all projects. This means that you are in close contact with business stakeholders. Also, checking and pre-processing historical data is a crucial part of the work of each project team.
Please consider the following questions:
• Do you have a strong quantitative education in a field such as physics, mathematics or econometrics?
• Are you experienced in programming languages suited for model building and data analysis, such as Python, Matlab and/or SAS?
• Do you have at least 6 years of work experience in risk modelling (preferably on at least one of the following subjects: IFRS9, Stress Test and/or Operational Risk)?
• Do you have a track record of successfully completing model building projects in time?
• Are you ambitious and do you want to continuously improve yourself?
• Do you work well within a team? Can you take the lead to ensure the successful delivery of projects while coaching team members?
If this sounds like you, then please apply!
ABN AMRO is a leading Dutch bank, with an international presence across Europe, Asia Pacific, and the Americas. Our bank believes in risk models for better banking and financial stability.
The models developed in the IFRS9, Stress Test and Operational Risk modelling team are state-of-the-art and at the forefront of the financial industry.
We are a team of ambitious, talented and smart people from all over the world. We work in a stimulating environment where team members have the opportunity to keep learning and make a positive impact for the bank and its clients.
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