VP Market Risk Manager

The organization

Our client is an Asian market leader within the financial services industry. They have offices around the globe in more than 50 countries. You’ll be part of an international atmosphere and a professional and dynamic culture. They are looking for grow strongly in their Amsterdam office.

The position

Our client is expanding its second line of defense to further professionalize the MBE organization, independently manage and monitor risks, and support senior management in steering portfolio and managing its own capital. We are looking for a business analyst with a quantitative background that will help the bank with interest rate risk and liquidity stress testing, as well as market risk modelling.

Function positioning
The Market Risk Management (MRM) team combines market and liquidity risk management topics. The role is to monitor and escalate market risk-related control issues to internal committees, ensure compliance with risk limits and risk-appetite (as a second-line function), perform interest rate risk and liquidity stress testing, and recommend appropriate action to the senior management. The team currently is responsible for Risk Management Committee and working for the secretary function of Asset and Liability Management Committee. Currently the team consists of 6 members and some consultants.

MRM team is part of the Risk Management Division (RMD) and organizationally reports to the Head of RMD, who in turn reports to CRO.

The VP will report to the Head of MRM, who acts as a team lead. The VP will have a regular interaction with senior professionals within MBE and the rest of the group.

Tasks & responsibilities

The role includes the following:

• Enhance IRRBB framework, EVE and NII stress testing model capabilities.
• Enhance stress testing capabilities by developing a liquidity stress test model and lead implementation of an in-house platform.
• Contribute to enhancement of current stress testing processes to ensure assumptions can be revised, refined or updated to adapt to business, regulatory and market changes.
• Analysing large data sets to produce clear, concise and meaningful reports for internal and external stakeholders.
• Support the Internal Liquidity Adequacy Assessment (ILAAP) and SREP processes.
• Assist in validation of internal models and participate in regular communication with model owners in Amsterdam, London and Tokyo.
• Assist in preparing regular reporting where necessary.
• Assist in other ad-hoc assignments and projects owned by the MRM team.

Candidate profile

Skills and experience:

• Academic degree in Economics, Finance, Data Science, Statistics or other relevant study.
• At least 5 years of work experience in banking, or finance advisory roles; data science experience is a plus.
• Understanding of EBA guidelines with respect to stress testing requirements as well as willingness to keep the hand at the pulse with respect to new regulations.
• Desirable proven experience with stress testing.
• Advanced Excel (VBA) and working knowledge of programming language (i.e. SQL, Python).
• A completed CFA, FRM or PRM is a plus.
• Analytical Abilities/Financial Acumen/Problem Solving;
• Fluent language skills in English.
• You have to live in The Netherlands.
• Proven analytical skills and high attention to detail.
• Excellent written communication and presentation skills, with ability to explain a complex topic in a structured and clear manner.
• Team player with ability to collaborate in cross-division teams and display organizational sensitivity in a very diverse environment.
• Ability to manage diverse workload.

The offer

Our client offers a competitive salary package with a max. of €120K. The salary for this position will be based on a 38.75 hours working week. You will have a bonus of 20% discretionary, training budget, pension plan and 29 holidays. Besides the package you will be part of an international group of winners that will strongly grow over the next years. You will get the chance to grow along with the group.

Interested?

You can apply to this position by using the link below.