- Entry level
- No Education
- Salary to negotiate
At a glance Your job The Senior Model Validator is a member of the ALM & Capital Model Validation team as an expert model validator. The Senior Validator performs high quality validations mainly in the ALM & Capital domain. 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. The Senior Model Validator has in-depth specialist knowledge of the models used for risk management in the ALM and/or EC area, methodologies and the business using these, as well as of processes relevant to their area of expertise. The Senior forms an independent expert view on the mathematical consistency of the models, their suitability for the intended use, the accuracy of the models and their proposed implementation. The Senior Model Validator has a coaching role towards the Model Validator and Associate Model Validators. In addition, the Senior can act as a delegate for the Team Lead Model Validation.
Your working environment The Model Risk Management department consists of four Model Validation teams (Innovation & Projects, Credit Risk Model Validation, ALM & Capital Model Validation and 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. In this context, validation refers to the critical inspection of a model by a department separate from the one developing the model. The findings of the validation are presented in a validation report. Such a report will typically contain 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.The ALM & Capital Model team validates the models employed for managing the market (e.g. interest rate) and liquidity risks associated with the products in the banking book of the ABN AMRO Bank. The scope of this validation team includes a variety of models ranging from the behavioural Interest Rate Mortgage Model to Market Risk in the Banking Book Economic Capital model. The validator in this team has a key role of:
- assessing the quality of the data used for the development of the prototype model;
- examining the correctness of the methodology and assumptions;
- forming independent opinion on the model’s performance;
- assessing the compliance of the model with respect to internal and external regulations;
- checking the final implementation of the model in the production environment; The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analysing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties. The team creates high quality validation reports and provides them to the senior management as well as to other key stakeholders. The ALM & Capital Model Validation team has a mandate to escalate the issues to the CRO of the bank.
Your profile General- University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional. Qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable.
- At least 8 years of relevant work experience in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
- Full professional proficiency of English, capable to influence internal stakeholders.Specific knowledgeKnowledge, understanding of and experience with:
- Time series analyses and forecasting;
- Monte-Carlo simulation;
- Behavioural models;
- Econometrics and/or fundaments of Mathematical Finance, Statistical and Numerical Methods used in Quantitative Finance.Is at pace with the most recent developments in the field:
- Expert experience with and understanding of Interest Rate Risk, Liquidity Risk, Funds Transfer Price and/or Economic Capital models.
- Expert experience in handling, pre-processing and assessing the quality of (large) data sets.Advanced experience with modern programming languages, e.g. Python, MATLAB, C++ and/or database tooling, e.g., SQL, SAS and their application in statistical analysis.
- Proficient knowledge of MS Office programmes, in particular Word and Excel.
- Knowledge of ABN AMRO’s data landscape and business objectives.
What we offer
- International multi-cultural working environment
- Great colleagues
- Challenging work
- Unique opportunity to interact with multiple departments within the bank
- Flexible working hours
- Future career development
- Wide-range of training courses
- Competitive salary and excellent benefits