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At a glance Measuring and effectively managing risks is key in banking. The need for modelling in core banking processes, including risk management, is expanding rapidly. New technologies, new data sources and data driven solutions create an enormous amount of opportunities. On the flip side, these opportunities result in competition from unexpected parties on a high pace. ABN AMRO intends to make a step forward by exploiting these new opportunities and strengthen the competitive position. Risk Modelling has the ambition to develop risk models that enable offering our clients a sustainable price that matches their risk profile. The team has the ambition to be leading, agile and on the cutting edge. Risk Modelling is structured in a matrix organization. The Head of Modelling together with Process Cluster Leaders and Risk Type Cluster Leaders form the Leadership Team. The Process Cluster leaders, on one hand, are responsible for overall coordination across risk types, and the Risk Type Cluster Leaders, on the other hand, are responsible across all process types within one risk type area. The modelling groups is responsible for Credit Risk (PD, EAD, LGD, Scorecards), Market Risk in the Trading Book, Counterparty Credit Risk, Interest Rate Risk & Liquidity Risk, EC / Provisioning Modelling, and Stress Testing. The current vacancy is related to the Risk Type Cluster Leader for Interest Rate Risk & Liquidity Risk.
Your job The Risk Type Cluster Leader for Interest Rate Risk & Liquidity Risk is responsible for the models in the Interest Rate Risk and Liquidity Risk areas. He/she determines and monitors quality standards, sets the boundaries of what is expected from the teams, coaches the teams to realize and optimize (qualitative and quantitative) their operational deliveries and is pro-actively involved if boundaries are tested. The jobholder also has general knowledge of the other risk types to be able to represent Risk Modelling in an appropriate manner towards stakeholders. He/she represents risk modelling to other Risk Management departments, the business, IT, in various committees, Management Teams, change grids, and towards the regulators. The jobholder also has the aim to educate on and bring awareness about risk modelling within the organization and to actively promote risk modelling inside and outside of the bank. Furthermore he/she is responsible for coaching a part of our Modelling team on their personal development.
Your profile Quantitative information
Is part of the Risk Modelling department which consists of ± 80 FTE
Has a coaching role for part of the quants pool ( approx.. 10 FTE)
Represents risk models covering the entire balance sheet of ABN AMRO in terms of interest rate risk and liquidity risk.
Academic quantitative master's degree or PhD
>10 years of experience in a financial environment of which > 5 years in a quantitative environment and at least 5 years in a senior or managerial role
Strong coaching skills aimed at initiating cultural change
Thorough knowledge of financial markets, banking book products, risk management, and ALM.
Thorough knowledge of rules and regulations and regulatory trends relevant for risk modelling (Basel, IFRS, CRDIV/V, etc.)
Experience in communication with DNB/ECB, on-site inspections and thematic analysis
Strong personality with respect to interaction with internal stakeholders, regulators and other external stakeholder
We Offer 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 clients' 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.
Contact Are you interested? Please apply. For more information you can contact Marije Elkenbracht, firstname.lastname@example.org. We look forward getting to know you. Please apply in Talent2Grow. First open the link, then click on the 'apply' button. Next step is to upload your resume and cover letter.Note: you can only approach Talent2Grow using a secure VPN connection via your ABN AMRO laptop. Did you hand over your laptop? Please send your application to email@example.com