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At a glance Quantitative risk analyst Product AnalysisAre you the quant that will help keep the bank in control of the risks it is exposed to? Protect us against model risks by working on validations of our derivatives valuation models. Tell us your story. We are curious! If you're already good, we'll make you even better. That's a promise. So seize this opportunity to develop into the professional you aspire to be.
Your job The jobYou provide high quality validations of derivatives pricing models to be used by ABN AMRO. These models are used to determine the market value and risk sensitivities (Greeks) of financial derivatives. The results are presented to higher management.You interact with Front Office model developers, traders, Market Risk managers and Trading Risk modellers.
Your working environment Who are we? Product Analysis (PA) is part of ABN AMRO's risk management for trading activities. The department provides the bank with a quantitative validation procedure. All models for derivatives values and risk sensitivities go through PA for validation before they can be used for the bank's official purposes. We challenge mathematical assumptions behind the model and examine the accuracy and completeness of implementation before it can be used for trading purposes. The results of a PA validation constitute an expert opinion within Risk Management and are valuable information for the bank's Risk committees and higher management. We in PA are a team of about half a dozen validation quants of various academic backgrounds. Our ambition is not only to understand all aspects of a proposed model and check the correctness of its implementation against our own code. We also want to increase the leverage of our results for the bank by explaining our results to colleagues from other departments. We are aware that not only the right models make the difference, but also the people who use them. Working at ABN AMRO means becoming even better at what you do. We understand clients, translate their ambitions into joint success and thus earn their trust. We want our clients to understand our products. It's why we sometimes say 'no' if the risk attached to a product is too great for the client. Serving the client's interests is also a question of offering - and communicating - a transparent range of products. Banking is our business, the world is our challenge.
Your profile You interact with Front Office model developers, traders, Market Risk managers and Trading Risk modellers.Who are you? A validation quant with an excellent grasp of derivatives pricing models and a strong communicator. You are foremost a collaborator, who looks beyond tasks and claims responsibilities. Do you think you're a good fit? Check out your profile: A master's degree and/or Ph.D. in a quantitative subject (econometrics, mathematics, physics or similar)
Minimum of 1 year experience with financial derivatives in a validation and/or modelling environment
Solid understanding of the mathematical concepts relevant to the pricing of derivatives and of stochastic calculus in particular
Experience with object-oriented programming, ideally C++
Able to write texts on quantitative topics in a clear and accessible language
What we offer What do we offer? A flexible work environment. ABN AMRO highly values personal development and offers ample opportunity for education, growth and furthering your career. The position comes with a competitive salary (a maximum of ₠74.000,-) and excellent benefits, with room for personal preferences.
Interested? Interested? Apply for the position online. Do you have questions about the job content? Please contact Sander Rieken at (0031) 0 203 435502 / firstname.lastname@example.org We look forward to meeting you!