Counterparty Credit Risk Quant(m/f/d)
Our client is a leading Dutch bank with more than 40,000 employees in 30 international offices. Despite being a financial institution that size, it is one result-driven team working for a better world. This is, what makes the bank the top choice for millions of customers!
The bank's dynamic and international risk unit is looking for a full-time (36 hours/week) Credit Risk Model Specialist to develop and support the CCR, as well as ensure their regulatory compliance.
Location: Amsterdam, Netherlands
Main Responsibilities:
Developing risk models in all asset classes, but with a strong focus on CCR
Identifying and improving valuation methods/haircuts applied to non-cash collaterals
Optimizing existing models constantly and actively purposing improvements
Ensuring the models' compatibility with changes to the regulatory requirements
Improving valuation models for OTC derivates (i.e. cross-currency swaps)
Supporting during European Banking Authority stress testings in CCR
Working closely with other internal stakeholders (i.e. Model Validation, Front Line Business, IT)
Requirements:
Master's degree in a business-related quantitative field (i.e. Econometrics, Quantitative Finance, Financial Mathematics) or equivalent qualification
Professional background in working with financial derivates and their validation
Solid understanding of regulatory requirements related to Counterparty Credit Risk (i.e. Basel III, SA-CCR, CVA)
Working proficiency in English complemented by great communication and teamwork skills
Ability to work in an international team, think structured and logically
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For further information please apply here or contact Karim Alrawas at 030726211432
