At a glance

You will be working as an QRM Modeler in a DevOps environment and  will help find the best QRM solutions for the ALM department of the bank.

You form part of an agile team which delivers complex models and configurations that provide insight on the banking Interest Rate Risk, Liquidity Risk and /or Profitability using the QRM Framework and auxiliary systems. These deliverables will be done in conjunction with scrum methods and timeframes.

Your job

• Design, implement and support our QRM setup. This could include implementing valuation models, forecasting models, FTP models, yield curve models, behavioural functions (prepayments, penalty, etc), and liquidity models. 
• The system and models you will implement will produce analytical results for the management of NII (Net Interest Income), NIM (Net Interest Margin), NPV (Net Present Value), Liquidity and Cashflow scenarios (including GAP, LCR, Behavioural cash flows, FTP Base Value and Liquidity Spread Calculations.
• Discuss model specification with internal stakeholders
• Continuously improve test automation, implementations, and operational tasks 
• Take ownership and solve incidents together with the team 
• Collaborate with various components within the bank to achieve the best results

Working environment

• A multidisciplinary and multicultural DevOps team (5-9 people)
• One of the most innovative and front-running departments of ABN AMRO, which lets you work with the latest tools and technology in Microsoft Azure and build advanced QRM models.
• An open culture where you regularly give and receive feedback
• In an Agile-Scrum environment work in a self-organising team, where you are responsible for your growth and team goals and where you have a lot of autonomy in presenting your creative solutions
• An informal atmosphere with plenty of room for fun (movie/gaming events, monthly drinks, team outings)

Your profile

• 5+ years of IT-related work experience in Assets Liability Management, Balance Sheet Management, Liquidity, FTP, Risk Management or similar environments.
• 2+ years exposure to configuring models in QRM. (Liquidity, Interest Rate, FTP)
• An Affinity to implement technical and complicated solutions.
• SQL -knowledge and some C# or Python or willingness to learn the other one.  
• Good analytical and problem-solving skills, e.g. through mathematics or physics background
• Affinity with Finance & Risk
• Excellent English communication skills and an ability to manage stakeholder expectations

We are offering

• The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally
• and professionally
• The opportunity to pro-actively work on your vitality and fitness
• A supplementary benefit budget of 11%, which you can spend on additional fringe benefits
• A personal development budget of EUR 1.000 per year
• An annual public transportation pass or travel budget, depending on the function
• A solid pension plan

Interested?

Does this sound like something you’d be interested in? Send us your application as soon as possible. To find out more, contact Anthony Comyn via anthony.comyn@nl.abnamro.com. We very much look forward meeting you.

Equal opportunities for all

The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.

Disclaimer external recruitment agencies

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. In addition, a recruitment agency can only submit a resume when invited by a Talent Acquisition Specialist to join the search for a right candidate. All unsolicited resumes sent to us will be considered property of ABN AMRO BANK N.V. In this case, ABN AMRO will not be held liable to pay a placement fee.