Quantitative Risk Analyst - Amsterdam

  • Competitive
  • Amsterdam, Noord-Holland, Netherlands
  • Permanent, Full time
  • ABN AMRO Bank
  • 17 Feb 19

Quantitative Risk Analyst - Amsterdam

At a glance
Are you skilled in mathematical modelling and passionate about analytical work? Do you want to be responsible for the development and improvement of financial risk models? Is working with other modellers in a professional team something you enjoy? And do you also take pleasure in assisting junior modellers?Then this just might be the position you're looking for! Tell us your story. We are curious. If you are already good, we will make you even better. That is a promise. So seize this opportunity to develop into the professional you aspire to be.

Your job
You are part of the Risk Modelling team consisting of around 80 professionals. ABN AMRO Risk Modelling is responsible for risk models that are used on a daily basis. The quality of these models has a big impact on important areas such as the bank's risk profile, and its profit and loss. The Risk Modelling team consists of small, flexible, multi-skilled groups. This structure enables resources to switch between groups and work on different projects and risk model types. ABN AMRO is also working with new technologies and innovation, such as machine learning, continuous calibration, automated monitoring, and continuous improvement and delivery of risk models.As a Quantitative Risk Analyst, you can work in one or more risk-specific domains. These domains are:

  • interest rate risk & liquidity risk;
  • credit risk;
  • stress testing, IFRS 9 and economic capital;
  • market risk and counterparty credit risk.
You will be experienced when it comes to quantitative risk modelling, and will collaborate intensively with your stakeholders.

Your working environment
The professionals in the ABN AMRO Risk Modelling department have diverse international backgrounds and form a young and dynamic team. The team enjoys intellectual challenges and "rolling up their sleeves" to get the job done. ABN AMRO offers an open atmosphere, in which mutual feedback leads to continuous improvement. Together with support from business and other stakeholders, we work to realize our ambitions in delivery and innovation.Working at ABN AMRO means becoming even better at what you do. We understand clients, translate their ambitions into joint success and thus earn their trust. We want our clients to understand our products. This is why we sometimes say 'no' if the risk attached to a product is too great for the client. Serving the client's interests is also a question of offering - and communicating - a transparent range of products. Banking is our business, the world is our challenge.ABN AMRO puts a lot of focus on innovation. As the risk modelling department, we believe we are a vanguard for this development. We pay attention to recent developments in advanced analytics and believe these techniques can be used to make our risk management better and more efficient. We hope that you, together with the team, can help in creating a new generation of risk management models and tools. Any prior experience with machine learning/advanced analytics techniques would therefore be a strong advantage.

Your profile
Do you think you are a good fit?
  • Quantitative academic education (MSc, preferably with a PhD) in a relevant field, like econometrics, mathematics or physics;
  • At least 3 years of work experience in quantitative analysis, preferably risk modelling;
  • Knowledge of one or more risk model areas;
  • Good knowledge of statistics, econometrics, financial mathematics, stochastic calculus or machine learning;
  • Able to effectively communicate about model developments and model impact;
  • Strong analytic skills;
  • Experienced in modern programming languages (e.g. Matlab, Python) or statistical languages (e.g. SAS, R);
  • Affinity with data analytics, (pre)processing, and data handling;
  • Experience with machine learning/advanced analytics techniques is an advantage;
  • Able to work under high pressure;
  • Excellent team player;
  • Advanced interpersonal and communicative skills;
  • Well versed in English, both written and spoken.

What we offer
For the right candidates, we offer:
  • The freedom to work flexible hours;
  • Room to grow;
  • A competitive salary and excellent benefits, with room to tailor a package to suit personal preferences.
At 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.