Market Risk Modelling Audit Specialist
Amsterdam, The Netherlands
€100K – €105K + Industry Leading Benefits
A leading Banking organisation based in Netherlands, is currently searching for a Market Risk Modelling Audit specialist to join their wider Model Risk Audit division.
As a Market Risk Modelling Audit specialist, you will be responsible for:
- Leading Audits related to IMM models such as VaR, Stressed VaR, IRC and CRM models in the market risk space, Contributing to all the initiatives within market risk, across a range of asset classes given asset class (IRFX, Credit / Repo, Equity / Commodity).
- Leading Audit methodology projects whilst considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes
- Contributing to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;
Ideally, you will have the following experience:
- Market Risk Modelling experience from either a Banking Book or Trading Book perspective
- A strong understanding of Audit Methodology.
- Practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
- Design and implementation of quantitative models, using C# or C++ in a source-controlled environment
What they can offer to you:
- Base salary between €100K - €105K
- Industry leading benefits package
- Career progression and learning opportunities
- Varied position which will allows you to focus on the topics that you are interested in
Sounds like you? Please send across your updated CV, and we can arrange a confidential conversation to discuss this in more detail.