Quantitative Risk Analyst Product Analysis

ABN AMRO Bank N.V. - Amsterdam Area, Netherlands

Posted 802 days ago
  • Experience
    Associate
  • Job function
    Other
  • Employment type
    Full-time
  • Industry
    Banking
  • Job ID
    3052955

This is a preview of the Quantitative Risk Analyst Product Analysis job at ABN AMRO Bank N.V.. To view the full job listing, join LinkedIn - its free!Join LinkedIn - its free!

About this job

Job description

Product Analysis is part of risk management for trading activities, PA provides ABN AMRO with a validation procedure of a quantitative nature. All models for derivatives values and risk sensitivities need to be approved by PA before they can be used for official purposes by ABN AMRO. We challenge mathematical assumptions behind the model, and examine the accuracy and completeness of the implementation before a model can be used for trading purposes. The results of a PA validation constitute an expert opinion within Risk Management and thus important information for the Risk committees of ABN AMRO and its higher management.

 

You will have the freedom to work flexibly, the scope to develop personally. We offer you a salary on a par with market rates (maximum 74K), together with an attractive package of employee benefits that lets you choose many of your conditions of employment. You'll also get a regular coach/mentor.

Desired Skills and Experience

This job requires a solid view about the theory of derivatives price modelling. You provide high quality validations of the models to be used by ABN AMRO. The validations are used to determine the value and risk sensitivities (Greeks) of financial derivatives. You are interacting with Front Office model developers, traders, Market Risk managers and Trading Risk Modellers. The results are presented to the higher management, therefore you have excellent communications skills.

We offer you lots of opportunities, so we have some clear requirements.

 

Check whether you fit the profile of Quantitative Risk Analyst at ABN AMRO:

You hold a degree (Master and/or PhD) in a quantitative subject (econometrics, mathematics, physics or similar).

You have a solid understanding of the mathematical concepts relevant for the pricing of derivatives, in particular of stochastic calculus.

You have at least 1 year of experience with financial derivatives in a validation and/or modelling environment.

You have programming experience in an object-oriented programming language, ideally C++.

You are able to write clear texts on quantitative topics, making such material accessible also to non-experts.

About this company

ABN AMRO Bank N.V.

Working at ABN AMRO means becoming even better at what you do. We understand clients, translate their ambitions into joint success and thus earn their trust. We want our clients to understand our products. It's why we sometimes say 'no' if the risk attached to a product is too great for the client. Serving the client's interests is also a question of offering – and communicating – a transparent range of products. Banking is our business, the world is our challenge.

 

To find out more about the job, call: Tim Mexner, tel: 020-3832014 or Robin Holtel, Senior Recruiter, tel: 06-83639116.

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