Market Risk Manager
Consultant Ton van der Kooi
Datum 5 april 20192019-04-18 2019-06-04 banking Amsterdam North Holland NL EUR 60000 85000 85000 YEAR Robert Walters https://www.robertwalters.nl
Are you a Market Risk Manager with quantitative skills? Do you like to work for a growing European head office where you can have direct impact? Then keep reading.
For one of the biggest financial institutions in the world, with a Continental Europe Head Office in the Netherlands, I am searching for a Market Risk Manager / Model Owner / Business Analyst (Associate Vice President Level).
The Market Risk Management (MRM) team combines market and liquidity risk management topics as well as some Treasury Middle Office tasks. Its role is to monitor and escalate market risk-related control issues to internal committees, ensure compliance with risk limits and risk-appetite (as a second-line function), perform interest rate risk and liquidity stress testing, and recommend appropriate action to the senior management. The team currently is responsible for Asset and Liability Management Committee and Risk Management Committee. Currently the team consists of 5 members and aims to expand with addition of a new team member.
Main purpose of the role
The organization is expanding its second line of defense to further professionalize the organization, independently manage and monitor risks, and support senior management in steering portfolio and managing its own capital. We are looking for a business analyst with a quantitative background that will help the bank with interest rate risk and liquidity stress testing, as well as market risk modelling.
- Enhance stress testing capabilities by developing a new liquidity stress test model and lead implementation of said model in OneSumX platform;
- Enhance EVE and NII stress testing model capabilities;
- Contribute to enhancement of current stress testing processes to ensure assumptions can be revised, refined or updated to adapt to business, regulatory and market changes;
- Improve operational excellence within the team, leading automation of daily tasks;
- Analyzing large data sets to produce clear, concise and meaningful reports for internal and external stakeholders;
- Support the Internal Liquidity Adequacy Assessment (ILAAP) and SREP processes;
- Assist in validation of internal models and participate in regular communication with model owners in Amsterdam, London and Tokyo;
- Participate in professionalization of market risk function and help take it to the next level;
- Assist in other ad-hoc assignments and projects owned by the MRM team;
Skills and Experience
- At least 3 years of work experience in banking, or finance advisory roles; data science experience is a plus
- Desirable proven experience with stress testing;
- Working knowledge of programming language (i.e. SQL, R, Python);
- Advanced Excel (VBA), Modeling, Data Manipulation;
- Understanding of EBA guidelines with respect to stress testing requirements as well as willingness to keep the hand at the pulse with respect to new regulations;
- Academic degree in Economics, Econometrics, Finance, Data Science or other relevant field or study;
- A completed CFA, FRM or is a plus;
- Analytical Abilities/Financial Acumen/Problem Solving;
- Fluent language skills in English.
- Proven analytical skills and high attention to detail;
- Excellent written communication and presentation skills, with ability to explain a complex topic in a structured and clear manner;
- Team player with ability to collaborate in cross-division teams and display organizational sensitivity in a very diverse environment;
- Takes initiative, works structurally and translates ideas into practical solutions;
- Think independently and critically to create own views
- Ability to handle a significant and diverse workload.
You will be offered a competitive and market salary, depending on experience, and with excellent secondary benefits. The organization offers flexible work arrangements (i.e. part time work, working from home) and will provide ongoing learning and development opportunities.
Are you interested in the role of Market Risk Manager? Then apply as soon as possible.