Model Validator Valuation & Market Risk

At a glance

Do you have an independent positive critical mindset and do you like to analyse mathematical models in order to validate them? We need you!

ABN AMRO is a leading Dutch bank, with an international presence across Europe. We are looking for skilled quantitative model validators who have a solid quantitative background and a passion for working with advanced techniques.

Your job

As a Model Validator within the Valuation & Market Risk team, you will play a key role in ensuring that the bank makes well informed, data driven decisions. Your main focus will be the validation of valuation, market risk and counterparty credit risk models used by ABN AMRO Bank and ABN AMRO Clearing Bank. The Model Validator is a member the Valuation & Market Risk Model Validation team. The Model Validator performs high quality validations mainly in the Valuation & Market Risk domain. These validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices.

The validator forms an independent opinion on matters such as the mathematical consistency of the model, its suitability for its intended use, the accuracy of the model and its proposed implementation. The findings of the validation are presented in a validation report. Such a report will typically contain a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified.

You apply your quantitative skills and experience to a broad set of models and business challenges, and 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 experienced senior risk analysts who can help you to further develop your skills. You will work closely together with your colleagues and across the bank.

Working environment

The Model Risk Management department consists of four Model Validation teams and one Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank. The Valuation & Market Risk Model team validates the models employed for managing the market and counterparty credit risk with the products and positions in the trading books of the ABN AMRO Bank. The scope of this validation team includes a variety of models ranging from valuation models for various interest rate products, to Value-at-Risk and XVA.

The validator in this team has a key role of:

• assessing the quality of the data used for the development of the prototype model;
• examining the correctness of the methodology and assumptions;
• forming independent opinion on the model’s performance;
• assessing the compliance of the model with respect to internal and external regulations;
• checking the final implementation of the model in the production environment.
  

The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analysing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties. The team creates high quality validation reports and provides them to the senior management as well as to other key stakeholders. The Valuation & Market Risk Model Validation team has a mandate to escalate the issues to the CRO of the bank.

Your profile

• University degree in a quantitative discipline, e.g. (financial) mathematics, (applied/theoretical) physics, econometrics or similar, at least at Master level.
• A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is appreciated, but not essential.
• Experience: 0-10 years, with scale and salary in line with work experience
• Full professional proficiency of English, both in writing and verbally
• You work well in teams, have good communication skills and are capable to influence internal stakeholders.
• You are goal oriented and risk aware.
• A working knowledge of market risk or counterparty credit risk models is appreciated.
• Experience with modern programming languages, e.g. Python, MATLAB, C++ and their application in statistical analysis.
• Knowledge of ABN AMRO’s strategy and business, especially in relation to Global Markets and ALM/Treasury, is a plus.

We are offering

• The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
• Flexible hybrid working arrangement
• The opportunity to pro-actively work on your vitality and fitness
• A supplementary benefit budget of 11%, which you can spend on additional fringe benefits
• A personal development budget of EUR 1.000 per year
• An annual public transportation pass or travel budget, depending on the function
• A solid pension plan

Interested?

At ABN AMRO, we use our knowledge, expertise and network to help our clients within and outside The Netherlands achieve their goals based on responsible decisions. Our clients’ interests always come first. We want clients to understand our products, and we sometimes say ‘no’ if a product involves a risk that is too high for the client. Putting clients’ interests first also means communicating in plain language and crafting smart solutions that genuinely make a difference. That is our goal.

We are ongoing recruiting highly skilled people who can reinforce our team. We are happy receiving your application if you think you meet the recruitment criteria. The interview process consists of multiple interviews in which we focus on your experience, skills and knowledge. Besides that we are also interested to learn more about you; what thrives you, what do you consider as your qualities and area(s) of development. Please get in touch with Fons Vrouenraths (fons.vrouenraths@nl.abnamro.com, Team Lead) in case you like to learn more.