Quantitative Risk Analyst

Job content:

• You will be responsible for delivering important project goals, coaching junior colleagues and continuously improving our models. You will work in close collaboration with
  our stakeholders to maximize the impact of our models for the bank.

• Modelling transition probabilities between credit states for IFRS9 and stress testing. Key modelling techniques: times series analysis, Bayesian inference and optimization
  techniques.

• Modelling operational losses for the AMA model for operational risk. Key modelling techniques: extreme value theory and copulas.

• Understanding our business and our historical data is the starting point of all projects. This means that you are in close contact with business stakeholders. Also, checking
  and pre-processing historical data is a crucial part of the work of each project team.

Requirements:

• Strong education background with a quantitative degree – for example, physics, mathematics, econometrics, etc

• Experience in programming languages is very important (Python, Matlab and/or SAS)

• A minimum of 3 years working in a risk modelling environment including: IFRS9, Stress testing

• Proven track record of completing model building projects

• Strong command of the English language is mandatory (Dutch speaking would be desirable)