Do you enjoy a combination of analytic work and making a difference in the organization. Senior Model Validator is a validation expert and able to analyse and critique several categories of risk models on the full scope in order to manage the Banks model risk in the best possible way. What do you see when you envision the next step? Work on achieving your goals and develop yourself professionally and personally. Tell us your story. We want to hear it!Your job
The goal of the Model Validation Department is to limit the model risk of the ABN AMRO bank to acceptable levels. This is achieved by (a) developing state of the art validation standards, (b) defining a complete and compliant validation governance, and (c) by performing the actual validations of all of risk models.
Model Validation covers all risk models; for instance credit risk, market risk, counterparty credit risk, interest rate risk and/ or liquidity risk. Furthermore, Model Validation performs as a center of expertise by sharing knowledge on modelling, validation and regulatory compliancy with all our stakeholders. The task of a Validator comes with a large amount of responsibility.
Key relationships of the MV department are:
- Senior (Risk) Management of ABN Amro;
- Management in Business Lines C&MB and R&PB of ABN Amro;
- Model Developers and users of risk models at ABN Amro;
- Expertise centers in Risk (like Basel Center);
- Internal Auditors;
- External Regulatory Bodies (like DNB, ECB).
- Model implementation departments at ABN Amro.
Model Validation operates independently of the other risk departments at ABN Amro (including model development) to ensure the objectivity of the validation process. Furthermore, the Head of Model Validation has an official escalation reporting line to the CRO of ABN Amro.
The Model Validation department consists of a Head of Model Validation, a Vice Head of Model Validation, Senior Model Validators and Model Validators. In total you will have about 15 direct colleagues.
University level in a quantitative background (math, physics, econometrics or related disciplines) at least at MSc level but strongly preferred is at PhD Level or other additional education. Grades should be good. For the Senior Model Validator role, at least 3 years of relevant working experience at a financial institution is required. If not validation, work experience in modelling, ALM, or pricing is preferred.
Check your profile.
Do you think you’re a good fit? Check out your profile:
- Quantitative academic education (Master’s degree but strongly preferred is Ph.D.) in a relevant field, like econometrics, mathematics or physics;
- Very strong analytical skills;
- Experienced in modern programming languages (Matlab, C++, Pyhton, R) and/ or statistical software (SAS);
- Interested in financial mathematics, behavioral models, stochastic calculus and econometrics, as well as the most recent developments in these fields;
- Good knowledge of regulatory requirements (including Basel or FRTB);
- Great problem solving skills;
- Able to work under high pressure;
- Excellent team player;
- Advanced interpersonal, communicative and presentation skills;
- Good written and oral communication skills in English and good level of understanding and speaking of Dutch (or willing to learn);
- For the Senior Model Validator role, at least 5 years of relevant working experience at a financial institution is required.
- The freedom to work flexible hours
- Room to grow
- Great working environment in a highly educated challenging team
- Competitive salary and excellent benefitsAt 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.
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