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ABN AMRO 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 bank. For risk management purposes ABN AMRO has models in place for a.o. credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet of the bank. These models use market and client data to predict among others, the client behaviour and their risk profile based on the client characteristic, economy and market. Outside the risk management domain, model-based decision making becomes increasingly important and accepted. Models are also used for pricing, marketing, portfolio management, HR and in multiple other areas and innovative solutions. The Model Validation team is the main party challenging the quality of the models in ABN AMRO. As a result of the increase of the usage of models in the bank, our scope is continuously expanding. This increase requires also challenging models with new techniques, causing a stimulating and dynamic work environment. Do you enjoy an analytic job which makes a difference in the organization? Do you seek for a challenging and dynamic job with the opportunity of steep learning? Join this team aimed to manage the Banks model risk in the best possible way. As a Model Validator in ABN AMRO, you can become an expert in analysing and critically challenging several categories of risk models and get the understanding of the related risks. On the way, you will learn how to assess the quality of data; challenge state-of-the-art modelling techniques and/or checking the implementation and use of models. What do you see when you envision the next step? Work on achieving your goals and develop yourself professionally and personally. Tell us your story. We want to hear it!
Your job The goal of the Model Validation Department is to limit the model risk of the ABN AMRO bank to acceptable levels. This is achieved by:
validating a wide range of models, data, implementation and model uses
developing state of the art validation standards
defining a complete and compliant validation governance
establishing a model risk management framework
Our team covers validation of all risk models; e.g. credit risk, market risk, counterparty credit risk, interest rate risk, liquidity risk and so on. Additionally, other model categories are being validated as a result of scope extension or new regulations, providing a unique setting in banking industry: this wide scope stretches your learning curve across a wide variety of modelling techniques, risk types, businesses and stakeholders. Furthermore, Model Validation functions as a centre of expertise by sharing knowledge on modelling, validation, model risk management and regulatory compliancy with all our stakeholders. Thus, the task of a Validator comes with a large amount of responsibility.
As a Validator, you should be able to manage a wide range of key relationships with other parties such as:
Senior (Risk) Management of ABN AMRO;
(Senior) Management in Business Lines Retail, Private, Commercial and Corporate & Institutional Banking;
Model developers at ABN AMRO but also vendor model developers;
Expertise Centres in Risk (like Basel Management);
IT and other model implementation departments at ABN AMRO.
A wide range of users of (risk) models
External Regulatory Bodies (like DNB, ECB).
Your working environment Model Validation operates independently of the model development departments at ABN AMRO to ensure the objectivity of the validation process. It covers the model risk dimensions of data, methodology, implementation and use. The outcome of the validation process affects every level of the organisation - from individual client acceptance to strategic decision making and steering. It is a vital team for assuring model driven decisions are of good quality. This responsibility is shared across the team of about 25 specialists in a very international and diverse environment. This diversity, in terms of cultural background, gender, academic and working experience creates an optimal blend. We value team players who are smart, persistent, take their role seriously and are committed to finish the job.
Your profile Do you think you will fit this job? Check your profile:
Interested in financial mathematics, behavioural models, stochastic calculus and econometrics, as well as the most recent developments in these fields
Experienced in at least one of the modern programming languages (Matlab, C++, Pyhton, R) and/ or statistical software (SAS)
Strong analytical and problem solving skills
Eye for detail
Able to work independently
Good communication skills to a wide range of stakeholders
Able to give presentations on complex topics for a broad audience
Obedience of deadlines while still delivering high quality work
A quantitative background (math, physics, econometrics or related disciplines) at least at MSc level but strongly preferred is at PhD Level or other additional education. Grades should be good.
Specific work experience in Banking/Insurance/Fintech is not strictly necessary but up to 3 years is a preferred entrance level.
Work experience in previous roles in risk management besides validation, like modelling, Market Risk Management, ALM, or pricing is a plus.
What we offer
International multi-cultural working environment
Unique opportunity to learn/cover multiple risk types
Flexible working hours
Steep learning curve, and opportunity for future career development
Wide-range of training courses
Competitive salary and excellent benefits. Depending on your qualifications, this role covers multiple salary scales.