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Senior Quantitative Regulatory Modelling Analyst - ABN AMRO

Location: Amsterdam
Salary: € 5174 - € 7392 a month
Employment: Full-time

Senior Quantitative Regulatory Modelling Analyst (Amsterdam)

At a glance

We need you!

ABN AMRO is a leading Dutch bank, with an international presence across Europe, Asia Pacific, and the Americas. We are looking for skilled quantitative regulatory modelling analysts who have a solid quantitative background complemented with a thorough understanding of the regulatory requirements underlying the internal models for credit risk.

Your job

As a quantitative regulatory modelling analyst you will translate current and proposed regulatory requirements such as EBA Guidelines on PD and LGD estimation into instructions a credit risk modeller can use in developing regulatory compliant IRB models. Furthermore, the team is also responsible for the quality assurance of initiatives within the bank which affect the modelling process. For example reviewing Basel IV requirements, reviewing the application of modelling guidelines to model developments and instructing the modelling department.

In your day-to-day job you will work in multidisciplinary project teams. You closely work together with modellers, policy department and the business in order to ensure that the models properly reflect the regulation, the business and processes. You will work-out frameworks which describe the suitable quantitative methods and techniques and qualitative requirements for the respective IRB models.

As a (senior) analyst you take responsibility on the framework development process and Quality Assurance tasks among other activities as well as being actively involved in stakeholder management of both internal and external parties including the DNB and ECB. Overall you apply your quantitative skills and experience to make a positive impact for the bank and its customers. You will contribute significantly to the success of your team, which includes both junior analysts and medior risk analysts. As a senior quantitative position you will have to be able to take a leading role, if required, to guide junior/medior colleagues and lead small projects if required.

Your working environment

ABN AMRO Risk Modelling is a growing, international team of more than 90 professionals. We are the centre of excellence within the bank for developing quantitative risk models, which inform the bank in its daily decisions, from pricing of deals and granting of customer credits, through to setting and monitoring of market risk limits and determining the capital requirements for the bank.

The risk modelling department plays a key role in ensuring that the bank makes informed, data driven decisions. The main focus is the development and maintenance of our Credit Risk models which cover a large part of the balance sheet. These models are key to the existence of the bank as they form the basis for loan approval, pricing, performance management and regulatory capital.

Your profile

  • Minimum of 5 years of work experience in quantitative analysis within risk modelling in banking and finance
  • Quantitative academic education (Master’s Degree or PhD) in a relevant field, like econometrics, mathematics, actuarial studies or physics
  • Excellent knowledge of statistics, econometrics, financial mathematics, stochastic calculus
  • Exceptional understanding on regulatory requirements regarding internal models for credit risk - internal ratings based approach (IRB) - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines.
  • Excellent skills in software packages for statistical and data analysis, such as Python, SAS, R, and MATLAB
  • Excellent communication skills (verbal and written) in English
  • Able to work independently and under pressure
  • Pro-active a “can do” mentality as well as collaborative attitude
  • Team player and goal oriented profile

What we offer

  • Multicultural working environment with great colleagues from different nationalities
  • Challenging work on complex and advanced quantitative problems
  • Attractive package (depending on your level of seniority you are allocated to the according salary scale)
  • Flexible and fun working environment
  • Wide range of training opportunities
  • Career development and the possibility to gain experience in different areas of risk modelling, in other business areas of the bank, or in one of our international locations

Interested?

To find out more, contact Danielle Kuijf - danielle.kuijf@nl.abnamro.com. We are looking forward to hear from you!

Equal opportunities for all

The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.

Disclaimer external recruitment agencies

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. In addition, a recruitment agency can only submit a resume when invited by a Talent Acquisition Specialist to join the search for a right candidate. All unsolicited resumes sent to us will be considered property of ABN AMRO BANK N.V. In this case, ABN AMRO will not be held liable to pay a placement fee.

Location:
Amsterdam

Information and application:

Apply:

Please send your application for Senior Quantitative Regulatory Modelling Analyst at ABN AMRO in Amsterdam including your CV via our website.

Job code:
3599
Job posted
17 november 2022
Apply Now
More information:

To find out more, contact Danielle Kuijf - danielle.kuijf@nl.abnamro.com. We are looking forward to hear from you!

contactpersoon
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Contact:
Daniëlle Kuijf
Talent Acquisition Specialist
E-mail

Read all about working at ABN AMRO

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Contactgegevens

CareerGuide

Postbus 60184
1320 AE Almere

Tel: +31 36 7440 136

KvK 32090652
ING Bank NL91INGB065.42.67.456
BTW NL.8106.57.041.B01

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