Junior Market Risk Officer
In this junior function you look at the market risk of all global trading and treasury books covering all asset classes. You monitor whether positions are within limits and mandate. Furthermore, you analyse the regulatory capital that ABN AMRO needs to hold against the trading positions. You have an understanding of the valuation of derivatives, of risk models and of capital markets dynamics. In addition to your day to day tasks you will work on projects like EBA Stress Testing or ad-hoc analysis of large datasets using Python.
Risk analysis and advice
Monitors positions versus limits and policies, communicates irregularities with the Senior Market Risk Officer. Assesses market risks for new product proposals, one-off transactions, limit proposals and new activities & locations worldwide. Draws up a suitable risk report as proposal, proposing new products or increases in business proposals limits so that a proper assessment can be made in the relevant risk committees and provide them to the Head Market Risk Management and Senior Market Risk Officer for approval. Is responsible for carrying out analysis and delivering input for a definitive conclusion to Head Market Risk Management and Senior Market Risk Officer. Coordinates communication with business and outside risk management with the Senior Market Risk Officer and informs the Head Market Risk Management on material 1st line proposals. Market Risk Management process
Performs a regular review of the limits, the stress testing and stress scenario programmes as well as reviews of the portfolios. Monitoring of internal model performance through backtesting and benchmarking exercises. Performs acceptance tests on changes in the Market Risk Management infrastructure and reports results to the Head of Market Risk Management. Provides input for setting the functional risk requirements for projects. Identifies bottlenecks in the processes within Market Risk Management. Regulations and external relations
Provides input for risk or model reports that are relevant to external parties (including DNB and ECB), such as backtesting analyses, market risk solvency requirements and stress testing.
Your working environment
Risk Management is responsible for a healthy relationship between risk and return taking into account ABN AMRO’s moderate risk profile. Market & ALM/T Risk reviews and assesses risks, checks whether the business operates within the defined limits and mandates, interprets and implements regulations, designs policies, develops risk models and opines on business proposals. Market & ALM/T Risk is divided into 3 teams, namely: Market Risk Management Trading and Treasury, Interest Rate Risk in the Banking Book and Liquidity & Capital Risk Management. The department consists of around 21 FTE.Market & ALM/T Risk is responsible within Risk Management for the 2nd line supervision of Market Risk. The most important business units that MRM supervises are central ALM/T and Global Markets, but the responsibility is worldwide.The context of this function concerns an environment of increased complexity and dynamics in products, type of business, regulations and the global environment. The following portfolios fall within the scope of the department: Treasury, Banking Book, Rates, Foreign Exchange, Commodities, Equity, Securities Finance and Clearing and the risks related to Pension obligations.Market Risk Management (and other Risk Control functions) assess risks according to the guidelines set by Group Risk Committee and supervisors.
Do you think this position fits you? We are looking for the following:
- Master in Economics, Finance, Econometrics, Mathematics or a similar topic
- Well informed on developments regarding market risk best practices, internal policies, regulation, product developments and liquidity of products.
- Experience in Market Risk Management, Asset & Liability Management or Trading related function in a global environment
- Knowledge of financial markets and traded products
- Knowledge of valuation and risk models
- Knowledge of capital management and regulatory requirements
- FRM and/or CFA certification are a pre
- Programming skills (e.g. Python)
- Highly team oriented, enthusiastic and proactive
What we offer
- Freedom to perform at your best, work flexibly and lots of room to grow
- Help to stay fit and healthy
- An additional benefit budget of 11%, which you can use to buy employment benefits in a flexible way
- A personal development budget of EUR 1000 per annum
- Free public transportation or a transportation budget, depending on function
- A good pension scheme
Are you interested? Please contact Jop Houwen, phone +31622760468. We look forward to meeting you.
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