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Quantitative Risk Modeller (IFRS9, Stress Testing, Operational Risk and EC) - ABN AMRO Bank

Location: Amsterdam
Employment: Full-time
We are looking for outstanding medior quantitative risk analysts who have a solid quantitative background and a passion for working with advanced techniques to unlock the valuable information contained in historical data.

We are looking for a

Quantitative Risk Modeller (IFRS9, Stress Testing, Operational Risk and EC)

Your job

As a medior quantitative risk analyst, you will significantly contribute to delivering important project goals, coaching junior colleagues and continuously improving our models. You will work in close collaboration with our stakeholders to maximize the impact of our models for the bank. 

As a medior quantitative risk analyst you will work on one or more projects. Examples of projects are:
• Modelling transition probabilities between credit states for IFRS9 and stress testing. Key modelling techniques: times series analysis, Bayesian inference and optimization techniques.
• Modelling operational losses for our advanced measurement approach (AMA) model for operational risk. Key modelling techniques: extreme value theory and copulas.

Understanding our business and our historical data is the starting point of all projects. This means that you are in close contact with business stakeholders. Also, checking and pre-processing historical data is a crucial part of the work.

Your working environment

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.

The IFRS9, Stress Test and Operational Risk modelling is a team of ambitious, talented and smart people from all over the world. The models developed in the IFRS9, Stress Test and Operational Risk modelling team are state-of-the-art and at the forefront of the financial industry.

Your profile

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: 

• Exceptional academic education (Master’s Degree or PhD) in a relevant quantitative field, like econometrics, mathematics, actuarial studies or physics;
• Several years of relevant work experience in finance;
• Profound knowledge of statistics, econometrics, financial mathematics;
• Able to effectively communicate (in written and spoken English) about your analysis and results;
• Demonstrable experience in modern programming languages (e.g. Python, Matlab) 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 assessmen 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.

What we offer

  • The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
  • 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
  • A solid pension plan
  • An informal multi-cultural working environment with great colleagues;
  • Challenging work on complex and advanced quantitative problems;
  • Career development and the possibility to gain experience in all areas of risk modelling, in other business areas of the bank, or in one of our international locations.

Interested?

We are looking forward to hearing from you! Please submit your application online and include your list of grades.

Location:

Amsterdam

Information and application:

Apply:

Please send your application for Quantitative Risk Modeller (IFRS9, Stress Testing, Operational Risk and EC) at ABN AMRO Bank in Amsterdam including your CV via our website.

Job posted

09 november 2021
Apply Now

More information:

We are looking forward to hearing from you! Please submit your application online and include your list of grades.

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Carrière als Big Data specialist

Onze (digitale) wereld is steeds meer data gedreven. Door verschillende databronnen te combineren en gebruik te maken van slimme algoritmen, kunnen voorheen onzichtbare verbanden worden blootgelegd, waarbij het niet alleen draait om data volume, maar ook om een specifieke manier van denken. De vraag naar Big data specialisten is groot en zal verder toenemen.

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Nienke Smit
Nienke Smit
E-mail
06-41454957

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Pieter Lammers
Pieter Lammers
E-mail
06-41454956

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