Bedrijfsprofiel: Market Risk modeller / methodology

Market Risk modeller / methodology vacancy for an Risk Methodology Advisory department in Utrecht within an international bank (dutch is required).

The team is responsible for development and maintenance of all relevant risk methodologies for the financial markets businesses of this bank, achieving a risk framework that is consistent across the regions, meets all internal and external/regulatory requirements and is based on cutting edge risk measurement techniques and support of risk methodology related issues to the financial markets business and related risk management departments.



Functieomschrijving: Market Risk modeller / methodology

• Maintenance and development of the current market risk methodologies like Value at Risk and stress testing;


• Development and coordination of CADII applications towards the local regulator (DNB);


• Development and maintenance of the frameworks to calculate regulatory and economic capital within the bankI in line with the requirements set. This includes the Incremental Risk Charge and Stressed VaR;


• Involvement in New Business Committees to ensure a consistent risk framework between different locations and different risk factors;


• Involvement in the maintenance and development of credit risk methodologies like the currently used add-on methodology and the currently being developed simulation methodology.

Functiecriteria:Market Risk modeller / methodology

• Master in Econometrics / Financial Mathematics or related;


• At least 1-2 year of experience in a (quantitative) market risk management job;


• Preferably experience in market risk methodologies like Value at Risk;


• Knowledge of regulatory requirements with respect to risk management;


• Clear interest in financial markets and financial modelling;


• Good communication skills in Dutch and English;


• Effective problem-solving attitude;

De aanbieding: Risk Modeller

Good employee benefits.