QRM Specialist

Amsterdam
April 6, 2023
Detavast
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Job Overview

  • Date Posted
    April 6, 2023
  • Location
    Amsterdam
  • Expiration date
    --

Job Description

What is the project about?
The team seeks the right balance between conceptual risk management and practical implementable solutions and therefore we find it important that you have strong analytical skills. You will become a part of the Financial Risk Functional Development team. The team is a young, internationally focused team (both in scope of their work and their team composition) and focuses on developing new functionality and methodologies for interest rate risk management and liquidity risk in one target platform (QRM).

You will work on the implementation in QRM of Net Interest Income (NII), Economic Value of Equity (EVE), Credit Spread Risk in the Banking Book (CSRBB) and other IRRBB reporting measures. Also, you will support the team with ad-hoc solutions to practical problems that arise during new functional implementations. This includes:

  • develop new functionality in our target model;
  • analyse risk measurement figures and methods;
  • analyse configuration fit and gaps on new functionality;
  • coordinate resulting data required functional transformations; align and agree with model owners, model development and other stakeholders on the QRM implementation.

Job requirements

  • Master’s degree in Econometrics.
  • Extensive knowledge of financial risk management, relevant regulations on IRRBB, (ALM) modelling and hedging techniques;
  • Demonstrable knowledge in IRRBB;
  • Relevant ALM experience in the banking sector;

Proven track record in implementing a ALM system (e.g., QRM and using SQL) in a large Financial Institution. Understand complex ALM data, structured calculations, translation of regulatory requirements into practical implementations and how these contribute to managing ALM risk.

Nice to have:

  • Fluent in English;
  • Collaborate well in a team environment;
  • Able to manage different stakeholders and navigate different cultural environments;
  • Changeable and flexible, able to act swiftly in changing situations;
  • Strong analytical and quantitative skills (the breakdown of complex issues in manageable pieces);
  • Adaptable person and analytical thinker, who is able to come up with creative solutions;
  • A pro-active attitude, willingness to develop and learn new things and continuously look for improvements within the team and tribe.

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