Quantitative Risk Modeller for Climate and Environmental Risk (Amsterdam)

As a quantitative risk analyst, you will play a key role in ensuring that the bank makes informed, data driven decisions. We need skilled quantitative risk analysts who have a solid quantitative background and a passion for working with advanced techniques to unlock the valuable information contained within our production and historical data.

Do you have knowledge of climate and environmental changes? Do you have a quantitative background and a strong affinity with climate and environmental change and you are a fast learner? Then you are the candidate for the Climate & Environmental Quantitative Risk Modeller we are looking for.

As a quantitative risk analyst, you will play a key role in ensuring that the bank makes informed, data driven decisions. You will work with the business to understand the data they generate in their day to day activities. You will decide on the best quantitative methods and techniques to apply to the data sets to unlock the intelligence contained within them. You will work in a team developing new models and methods for quantifying risk, and in evaluating and improving the performance of existing models and methods. Here you can apply your quantitative skills in the real world, on real data sets and business challenges, and make a positive impact for the bank and its customers. You will be supported by your team, which includes experienced risk analysts who can help you to develop and grow your skills.

The banking sector is situated in a unique position to help build a more sustainable economy and society. ABN AMRO’s overarching goal is to accelerate the sustainability shift. We offer our clients specific expertise in sustainability and are embedding sustainability in our products and services. Our sustainable strategy is built on long-term ambitions in the areas of climate change, the circular economy and social impact. We are looking for people to strengthen our ESG risk management practices.

As a Climate & Environmental Quantitative Risk Modeller you can make a difference by incorporating climate-related and environmental risk within the Stress Testing and IFRS9 models. You will keep a close eye on developments around Climate and Environmental Risk and incorporate these in our models. You will assess the impact of climate-related scenario on our models. As the topic is still in development, there is a lot to learn.

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.

You have a strong quantitative education in an area such as mathematics, econometrics, actuarial studies, or physics. Besides that you have skills in software packages for statistical and data analysis, such as Python, SAS, R, and MatLab. You want to prove yourself in a quantitative modelling environment, and to apply your skills to derive meaningful, robust, data driven models to guide business decisions. You work well within a team, and can take responsibility for making your contribution to successful delivery.
You fit the profile if you meet the following requirements:
• Quantitative academic education (Master’s Degree or PhD) in a relevant field, like econometrics, mathematics, actuarial studies or physics;
• Good knowledge of statistics, econometrics, financial mathematics;
• Able to effectively communicate (in written and spoken English) about your analysis and results;
• Experienced in modern programming languages (e.g. Matlab, Python) or statistical languages (e.g. SAS, R);
• Strong analytic skills and affinity with data analytics, (pre)processing, and data handling;
• Able to work independently and under pressure;
• Pro-active attitude and an excellent team player.

The recruitment process includes technical assessment to test the knowledge of statistics and econometrics. For example, a candidate might be asked how logistic regression works and how to apply it in a given setting. A candidate might also be asked to solve a brain teaser.

• • The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally;
  • An informal multi-cultural working environment with great colleagues;
  • Challenging work on complex and advanced quantitative problems;
  • The opportunity to work on a very relevant topic which is growing rapidly in terms of importance, on which there is a lot to learn.
  • The opportunity to pro-actively work on your vitality and fitness;
  • A competitive salary;
  • 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.

We are looking forward to hear from you! Please submit your application online.
Together with your resume and cover letter, please also provide us with your list of grades.
Please only apply to one vacancy; the position that fits best with your experience, skills and knowledge.

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.

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.

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