ALM Model Developer
This is what you will do
My client is looking for a colleague who has developed a successful career in Financial Risk Management and wants to keep developing.
You will become responsible for developing models that are deeply integrated in our business model (pricing, hedging, funding) and have impacts across global balance sheet (Net Interest Income, Economic Value and Capital Requirements). The ALM models cover global customer lending products (e.g. mortgages, Wholesale Banking, mid-corps and SME Lending) and global customer deposits products (current accounts, savings).
You will perform this responsibility in one of their five squads (two squads are based in Poland). Your main task is to ensure ALM models lead to a stable Net Interest Income and accurate capital requirements. The models are largely dependent on client behavior, so you will monitor and model the behavior and spot emerging trends using big data analytics. Because ALM models are deeply integrated in the company a lot of stakeholders are involved. That is why a good mix of planning, stakeholder management, convincing and technical skills are important for us. Moreover, as ALM models are supervised by regulators, knowledge of regulatory developments is a must.
This is you
- An academic degree (MSc or PhD), quantitative studies such as Econometrics, Mathematics, Engineering & Physics
- Finished additional professional qualifications in the financial risk field such as CFA, FRM, or the willingness to do so
- Relevant experience in the financial sector (e.g. banking, insurance, consulting)
- Relevant experience with financial risk modelling
- Strong quantitative skills and being able to put them into practice using programming languages such as Python
- Proven track record to make high quality deliveries (e.g. memos, presentations, technical modelling documentations, analysis, code) within set time lines
- Excellent analytical skills with a strong attention to detail
- Interest in financial services, an innovative take on banking and an unconditional drive to turn your ideas into reality
- The ability to challenge the status quo
- Great team player skills
- And of course you should be fluent in English
This is where you will work
The ALM (Asset & Liability Management) modelling team is an energetic team of highly qualified professionals. They are responsible for the development and advice on the company's global ALM models (interest rate risk, liquidity and capital models). The models are used for pricing, funding, hedging and capital requirements purposes. They maintain close relations with our stakeholders at Head Office (e.g. Financial Risk, Risk & Capital Integration, Treasury, Model Validation) and local business stakeholders Worldwide.
The ALM Modelling team consists of 35 professionals, based on Amsterdam and Poland. The ALM Modelling team is part of the Model Development department within Financial Risk consisting of over 300 professionals. They are determined to advise the business stakeholders to empower the customers of the bank to stay ahead financially, in life and business. Client behavior is crucial to them and they have loads of data. They use state-of-the-art modelling methods and technologies to explore, analyse, and leverage data. The position offers excellent opportunities to broaden your ALM management, data analytics and modelling competencies while working on your soft skills by advising our stakeholders.