Senior Quantitative Risk Analyst

Amsterdam

Job description

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

As a senior quantitative risk analyst you will lead one or more projects. Examples of projects are:

• Modelling operational losses for our advanced measurement approach (AMA) model for operational risk. Key modelling techniques: extreme value theory and copulas.

• Modelling transition probabilities between credit states for IFRS9 and stress testing. Key modelling techniques: times series analysis, Bayesian inference and optimization techniques.

Requirements

• Strong quantitative education

• Experienced/proficiency in programming languages suited for model building and data analysis, such as Python, Matlab and/or SAS?

• At least 6 years of work experience in risk modelling (on for example IFRS9, Stress Test and/or Operational Risk)?

Company profile

Our client is the third largest bank in the Netherlands, they have around 6 million customers. Our client has a big impact on the economy and the society.

What they offer:

• flexible hours and growth potential in personal and professional view

• 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.

Publication date

28.05.2019

At a glance
Match criteria
Specialization
  • Quantitative Finance
Seniority
  • Senior
Recruitment form
  • Permanent
More information
Tobias Slot
Mobile: (06) 8172 6611
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