Modelling second-round effects in stress tests
One of DNB’s core tasks is promoting financial stability in the Netherlands. To signal vulnerabilities in financial institutions, DNB conducts regular stress tests. In order to conduct these stress tests, the Macroprudential Policy and Analysis department within the Financial Stability division has developed several stress-test models. We seek to further develop the model suite by incorporating second-round effects, which arise from interactions between the banking sector and the real economy.
We are looking for an enthusiastic Master student who would like to work on developing methods to model second-round effects in the stress test model suite. This internship involves working with both macroeconomic and financial time series. We encourage you to use state-of-the art time series techniques, e.g. BVAR models, to develop a high performance model.
Who are we looking for?
The internship is open for master students in financial economics, econometrics or economics with a strong quantitative background. We expect that students are enthusiastic, have a broad set of quantitative and analytical skills, are able to clearly express themselves in writing and speaking, and are able to work independently. You will be available for 36 hours per week during the course of three to six months.
What do we offer?
We offer the opportunity to work on a project with impact. If successful, DNB will use your results in its stress-test model suite. Master’s students receive €460 per month during the internship and are eligible for a reimbursement of their travel expenses within the Netherlands.
For further information about the internship you can contact Robert Vermeulen (email@example.com) or David-Jan Jansen (firstname.lastname@example.org).
Applying for the internship
Applicants are expected to send us their resume, a motivation letter and a transcript of grades before 15 June 2018. If possible, also include a recent writing sample, e.g. a term paper.
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