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Senior ALM modeller in Utrecht

Zo ziet jouw baan... Are you an experienced quantitative modeller who enjoys working in a team and to cooperate with the business? Do you also get excited by working with the newest models and techniques?...


Zo ziet jouw baan eruit
Are you an experienced quantitative modeller who enjoys working in a team and to cooperate with the business? Do you also get excited by working with the newest models and techniques? Come and join us! 

About the job
As a senior ALM modeller it is your main responsibility to develop several models in the areas of interest rate risk and liquidity risk. But you are also able to handle modelling business cases that pop up elsewhere in the business. Examples of these models are prepayment models for mortgages or a replicating portfolio model which models savings deposits. In your role you are proactively advising business owners (from other business units) on topics related to model development and ALM. 

Besides working on existing models you are also passionate about exploring new methodologies or technical solutions. You are able to put your knowledge and experience in the area of quantitative modelling, data science, and risk management into practice and translate this to the relevant stakeholders. You take care of the entire development cycle from initiation up to realisation of an implemented model.

About the department Risk Management
This function is part of the department Enterprise Risk Management (ERM) within the Risk Management domain of de Volksbank. The ERM department reports to the Chief Risk Officer and focusses on integrated risk reporting, model development, and overarching risk policy for de Volksbank. 

The four departments of ERM are:
  • Market Risk Modelling 
  • Credit Risk Modelling
  • IRM
  • Core-ERM
Crucial for the success of the ERM department is the cooperation between the departments in which the desire for continuous improvement is a key characteristic of the profile of the ERM employees.

The department Market Risk Modelling is a close team in which results are achieved and successes are celebrated. Fun, personal growth and team growth are highly valued. The Market Risk Modelling team is responsible for the development of all ALM and market risk models of the bank. The departments Credit Risk Modelling, Market Risk Modelling, and Advanced Analytics operate as a Centre of Excellence for the entire bank in the area of modelling and quantitative analysis. 

Practical background and relevance
You are a well-organized individual who can prioritize tasks and has strong time management skills. You are able to work independently, but at the same time you are a committed colleague with a great sense of responsibility. You have relevant experience with IRRBB regulations, ALM and liquidity modelling. Understanding and experience in working with Matlab and/or QRM is also essential. We find it important that you are enthusiastic, eager to continuously develop yourself and you want to contribute with innovative ideas.  

You have: 
  • A quantitative background (Msc in econometrics, mathematics, physics or other relevant quantitative studies);
  • At least 5 years relevant work experience;
  • A passion for working on innovative techniques;
  • Experience with the Agile way of working;
  • Excellent communication skills.
If you recognize yourself in this description and can identify with our ambitious team and its challenges, we are eager to meet you!

Do you want to apply for this position? 
Pease click the yellow ‘sollicitatiebutton’ below and upload you cover letter and resume. We will contact you as soon as possible. Do you have questions about the vacancy or procedure? Please contact Eva Dankers, Corporate Recruiter at eva.dankers@devolksbank.nl|06 - 537 62 809. 

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Extra informatie

Fulltime (startersfunctie)

De Meern | Financieel / Accountancy | Fulltime (startersfunctie)

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