Modeler Market Risk Modelling in Utrecht

Are you a modeler with experience in market and interest rate risk modeling? Do you want to be part of a strong and enthusiastic team? And work for a company that cares about more than just profit? Apply now!

The department
MRM is responsible for developing and maintaining state-of-the-art market and interest rate risk models, used within interest rate risk management, liquidity management, asset & liability management, pricing and balance sheet management. Together with the model owners and Model Validation, MRM supports the business in taking correct and timely decisions on pricing and risk appetite for mortgages, credit, and savings.

At full strength MRM consists of 10 people. Emphasis is on model development, but also project management is part of the team. Next to the full-time employees, we regularly have students doing their (master) thesis within the team. Models are developed in project teams of 2-4 people, giving enough opportunity to discuss, build up personal expertise and learn from each other.

This is what you will be doing

• (Re)develop market and interest rate risk models, which will be used to steer the bank. Examples are prepayment, liquidity and embedded option models;
• contribute to innovations in using quantitative methods within the bank, such as mathematical models, data science and machine learning;
• work together in an agile or project team with other modelers and experts from other departments such as Balance Sheet Management and Model Validation.

What we are looking for

• A quantitative background (Master / PhD in econometrics, mathematics, physics or similar)
• 2-7 years of experience in developing, maintaining and implementing models, preferably market or interest rate risk related;
• experience in programming, preferably in Matlab;
• an effective communicator and team player;
• the drive and courage to improve; yourself, the department, the whole bank;
• knowledge of ALM is appreciated;
• experience with agile is an advantage;
• a willingness to learn Dutch (if applicable).