ALM Modeller – Leading Dutch Bank

Full Time, Permanent
Posted 2 weeks ago

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My client is a leading bank based in Amsterdam.  The Assets and Liabilities Management (ALM) Model Development team is an energetic international team of highly qualified Modellers. The team is responsible for the development of models to measure and manage market risks in the banking books. These models are core to the success of their clients and include behavioural models (e.g. prepayment models), replication (hedging) models and risk measurement models (e.g. economic capital model). The models are related to retail and wholesale products.

They now seek a candidate who wants to develop further as an ALM Modeller. The ALM Modeller will play a crucial role in the development of risk methodologies for the measurement and management of market risks of all banking books. The ALM Modeller will be responsible for:-

  • Developing, improving, analysing and documenting Assets and Liabilities models
  • Advising senior management about Assets and Liabilities modelling topics
  • Knowledge transfers to the locations for the models developed
  • Project and stakeholder management to make sure models and activities are planned and developed in time

Your backpack should contain:

  • An academic degree (MSc or PhD), preferably in econometrics, economics, statistics, or mathematics
  • Sound knowledge  of financial engineering, statistical modelling (and tools) and econometric methods
  • At least 2 years of experience in Assets and Liabilities modelling
  • Good programming experience (e.g. Python, R)
  • Excellent communication and presentation skills
  • Good project and people management skills
  • Familiarity with advanced statistical techniques like machine learning and deep learning.

Additionally, you should have

  • Strong analytical, problem-solving, communication and execution skills
  • Independent, creative and pro-active mind-set
  • Ability to challenge the status quo
  • Great team player skills

If you are an ALM Modeller looking for your next challenge with a great working environment and the opportunity to excel in a dynamic and agile environment then we would be keen to hear from you.

+ ALM Modeller

Job Features

Job CategoryBanking
Base Salary€ Excellent
Job Expiry2019-12-31

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