It Projectleader

VD Recruitment
Geplaatst op
2 tot 6 maanden
Op locatie


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The projectleader will start working on several mandatory/regulatory changes within the risk area. This will involve changes within the Murex / FX&R product group. The changes will have an impact on several departments within the bank, systems and processes. And are related to IMA. The items that are related to the Internal Model Approach (IMA approval are:

  • Include FX Skews in VaR calculation so it does no longer have to be included in the Risk Not In VaR (RNIV) numbers.

  • Include IR Skews in Value at Risk (VaR) calculation so it does no longer have to be included in the Risk Not In VaR (RNIV) numbers.

  • Implement a solution for RNIV Bond futures and Cheapest to Deliver basis risk.

Market data including historical market data should become available to validate the model and perform the VaR calculations

  • The Risk model should be described and approved by Model Validation, Trading Risk Committee(TRC) and DNB

  • The Murex application should be adjusted to calculate and report the VaR for FX Skew, therefor the following products should be created:

(Requirements list, Functional design Murex, Coding/Configure Murex, Build market data interface from the Vendor towards the Murex application, Mockrun test, Installation guide, User Acceptance test, System Integration Test and Production Acceptance test (QA-test), GO-live including after care, Parallel run)

Experience needed

Project Management experience
Test Management experience
Experience of dealing with multi sub vendors
Experience with the development and implementation process, specifically in the area of risk.
Education (at least degree level) in relevant area.
Good communication & writing skills (in English).
Specific knowledge of risk management for Counterparty Credit Risk. - pre
Financial Markets Products FX & Interest Rates, FXD & IRD, Commodities. - pre
Risk Management - Market Risk Methodologies, including internal and regulatory calculations and methodologies – pre

Duration; 3 months





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