Interim Financial Risk Manager IMM
Consultant Nicky Zwolsman
Datum 2 maart 2023noord-holland banking-financial-services/risk-management 2023-03-02 2023-04-01 banking Amsterdam North Holland NL Robert Walters https://www.robertwalters.nl https://www.robertwalters.nl/content/dam/robert-walters/global/images/logos/web-logos/square-logo.png true
We are currently looking for an Interim Financial Risk Manager IMM for a bank in Amsterdam. Do you have experience with Counterparty Credit Trading Risk/Market Risk and IMM? Are you available on short notice for a new interim assignment? Then feel free to read on!
This exciting role offers the opportunity to work in an important and professionally rewarding enterprise-wide risk management environment. You will be part of a project team and have direct communication with Financial Markets Trading and Sales, Credit and Market Risk quantitative analysist and IT developers will be the norm.
Responsibilities as Interim Financial Risk Manager IMM:
- Supporting a wide spectre of counterparty credit risk measurement models for the whole range of financial asset classes:
o Potential Future Exposure (PFE) for internal limit utilisation estimations based on Monte Carlo and Add- on methodologies, their calibrations and back testing,
o Regulatory and internal exposure at default (EAD) estimations,
o Stress testing,
o Wrong Way Risk modelling,
o Margin flow modelling,
o Capital calculation and exposure measurement for failed settlement transactions,
o Own fund requirements for central counterparties.
- Preparation of quarterly reviews of counterparty risk weighting factors,
- Advising on risk profiles and pre-deal checks of potential future exposures of exotic and structured deals,
- Manual adjustments of risk estimations within risk system of already existing deals,
- Active participation in risk modelling implementation projects,
- Validation of market scenario evolution models for all asset classes,
- Validation of risk profile estimations of all types of derivative products, including credit, derivatives, equity, FX and IR derivatives with the emphasis on quantitative aspects,
- Driving increased standards in modelling and model governance, amongst others to meet the standards set out for the regulatory internal model method.
We are looking for a professional with years of experience in market and/or counterparty credit risk who wants to be part of a project group within a challenging and evolving business environment. Daily activity requires analysis of data sets, participating in communication and coordination of data collection, writing specifications, shaping target architecture, leading sub-projects ensuring organizational compliance, presenting your work to (senior management), and finding agreement on your work with internal audit and model validation.
Your profile as Interim Financial Risk Manager IMM:
- Degree in a quantitative subject.
- Experience with IMM requirements and testing.
- Experience within Banking/Financial Services industry.
- Proven understanding of Monte Carlo simulation methodologies.
- Strong analytical skills with ability to drill down to a very detailed level.
- Good communication skills.
- A hands-on approach, to be able to work independently as well as in the team.
- Ability to work under pressure meeting strict deadlines.
- Proficient in Excel, SQL and/or Phyton. Programming skills would be an advantage.
Formalities of the assignment:
- Interim assignment on a ZZP basis;
- Start date is ASAP, no later than May 1;
- Engagement is full-time, part-time is negotiable;
- Location is hybrid.
Does this assignment sound interesting? Then respond immediately!
Neem contact op
+31 (0) 20 644 4655
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