Senior Analyst, Planning & Risk Management Department - Amsterdam

Personnel Search -  Amsterdam

Functie omschrijving

Key responsibility
The key responsibility will be to ensure that the bank has effective methodologies, models, infrastructure and tools to monitor the key risk indicators and limits, and to prepare detailed risk reporting on credit, market and liquidity risk to internal and external stakeholders by support. This will mainly be achieved through supporting, maintaining and developing in-house financial modelling, the suite of End User Computing (EUC) applications and management information system, and designing, reviewing and conducting periodic valuation and stress testing.

Detailed responsibilities
Liquidity Risk:
Maintain existing solutions through periodic updates to address changes in data structure or regulations. 
Integrate new regulatory risk parameters into the existing liquidity risk management framework and reporting structure by updating current templates, reports and dashboards. 
Embed calculation logics and analytical abilities on liquidity risk metrics (incl. NSFR and 3M survival period) into the team. 
Maintain / enhance liquidity risk stress testing calculations by updating calculation logic, assumptions and using VBA based models.

Credit Risk: 
Develop a comprehensive solution (VBA/SQL based at the least) to capture all aspects of Credit Risk for daily solvency reporting, including: 
Capturing all customer exposure data from Mizuho data warehouse with the use of SQL. 
Capturing risk mitigation data from several sources to reflect to exposure data. 
Integrate current deal initiation process to the solvency management / projection system. 
Integrate COREP template to the solvency solution mentioned above to automate them. 
Develop reports/credit risk dashboard for Portfolio Management Committee. 
Calculate risk weighted assets based on any new Basel regulations (Standardised Approach).

Market Risk: 
Maintain / update valuation logic and calculation process for existing / new products. 
Maintain / enhance Excel modules to manage market risk on banking book, incl. Earnings at Risk calculation module using Monte Carlo simulation.

Others: 
Maintain / develop other data tools to support other monitoring / reporting tasks within MBN


Functie-eisen

Desired skills and experience 
Strong VBA / SQL skills on a developmental level, experience on building database and data management 
Good understanding of risk regulations 
Ability to translate these regulations into risk models 
Ability to translate risk models into functional specification of tools that will calculate / monitor those risk parameters 
Ability to translate the functional specifications into VBA / SQL modules and create automated tools to calculate them 
Experience in market risk reporting and calculation logics, including present values, PVBP, yield curve generation using rates and spline coefficients. 
Experience of Microsoft SQL Server or other relational database development in general 
Team player and flexible hands-on working attitude. 
Excellent communication skills, both in writing and verbally.

Education 
Strong academic background, educated in a quantitative subject, preferably Econometrics, Maths or Statistics, preferably at
Masters degree level 
Excellent in English verbally and in writing, Dutch knowledge is an advantage.


Arbeidsvoorwaarden

Being part of one of the largest financial institutions of the world; 
Competitive remuneration package (e.g. 13th month and bonus); 
Good career opportunities for professional development in a global institution; 
Technical and professional training; 
Working in a dynamic international and multicultural environment; 
5 day working week of 37,5 hours; 
Challenging position in the heart of the business with wide range of service needs; 
Working as part of a highly motivated team consisting in total of 7.


Sollicitatieprocedure

Contactpersoon

Vacature contactpersoon Personnel Search
Marc Vermeulen
Amsterdam
+31765205511

Vacature info

Functiegroep

Salarisschaal

  • €3500 - €5000 euro

Aantal uren

  • 40 uur
  • 32-40 uur

Dienstverband

  • Vast

Opleidingsniveau

  • HBO
  • WO/Universitair
  • Postdoctoraal

Opleidingsrichting

  • Management

Regio/Provincie

  • Overige

Branche

  • Automatisering/IT/Internet