Model Validator

At a glance

Do you have an independent positive critical mindset and do you like to analyse mathematical models in order to validate them? Do you have a quantitative background, combined with a deep understanding of climate & environmental risks? We need you!

ABN AMRO is a leading Dutch bank, with an international presence across Europe. We are looking for skilled quantitative model validators who have a solid quantitative background and a passion for working with advanced techniques. Our team is expanding to incorporate climate & environmental risk in all of our models.

The Valuation and Market Risk Model Validation team is looking for new team members. Our team is located in the Dealing Room of ABN AMRO.

Your job

As a Model Validator in the Valuation & Market RIsk Model Validation team, you are responsible for technical and high quality validations of:

• Valuation models used to price derivatives.
• Market risk model.
• Counterparty credit risk models.
• Client Advisory models.
• Clearing risk models.
• Climate & environmental risk models.

 These validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices. As a specialist you form an independent expert opinion on the mathematical consistency of the model, its suitability for the intended use, the accuracy of the model and its proposed implementation, model performance, as well as quality of the data which is used in modelling process. The findings of the validation are presented in a validation report, which contains a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified. Model Validation has a mandate to escalate the issues to the CRO of the bank.

Working environment

The Model Risk Management department consists of four Model Validation teams (Innovations & Projects, Credit Risk Model Validation, ALM & Capital Model Validation, Valuation & Market Risk Model Validation) and one Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank. Validation is a powerful tool in model risk management and is a regulatory obligation.

The Model Validation teams operate independently of the model development departments at ABN AMRO to ensure the objectivity of the validation process. It covers the model risk dimensions of data, methodology, implementation and use. The outcome of the validation process affects every level of the organisation – from individual client acceptance to strategic decision making and steering.

The Valuation & Market Risk Model Validation team consists of specialists with diverse cultural background, academic and working experience. By working within the team you will be able to enjoy a dynamic and open environment which relies on flexible mind-set, collaboration and discussion, and encourages taking initiative and responsibility.

Your profile

• University degree in a quantitative discipline, such as (applied) mathematics, (applied) physics, econometrics, applied earth science or similar, at least at Master level.
• A PhD and/or additional qualification is desirable.
• At least 2 years of relevant work experience and/or in related research.
• Proven affinity with financial markets
• Experience with and understanding of one or more of the following type of models or areas is preferred: time series analyses and Bayesian estimation models, derivative pricing, market risk models, statistical and numerical methods used in quantitative finance, climate & environmental risk models.
• Experience and affinity with programming in Python and/or C++.
• Good communication skills.
• Full business proficiency in English.

We are offering

• Challenging work and unique opportunity to interact with many departments within the bank
• A diverse team of colleagues to work with, and learn from
• Flexible working hours and hybrid working arrangements
• Competitive salary, depending on experience and skills, in range of €55.000, to - €95.000,- (incl. holiday allowance)
• Flexible benefit budget of 11%.
• A personal development budget of EUR 1.000 per year
• An annual public transportation pass
• A solid pension plan

Interested?

We are always recruiting highly skilled people who can reinforce our team. We are happy receiving your application if you think you meet the (most of the) recruitment criteria. The interview process consists of multiple interviews in which we focus on your experience, skills and knowledge. Besides that we are also interested to learn more about you; what drives you, what do you consider as your qualities and area(s) of development.

Please get in touch with Fons Vrouenraths (fons.vrouenraths@nl.abnamro.com) in case you like to learn more about the position.

Equal opportunities for all

The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.

Disclaimer external recruitment agencies

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. No unsolicited services or offers, please.