Imagine Rabobank’s market risk models are seen as state of the art by the business, by the supervisors and by our competitors. With you as our Senior Risk Manager Methodology, we will achieve this together. Your expertise and ability to identify, model and measure risks for Financial Markets products will be an asset to our team.
Addressing supervisory findings related to the IRC models.
Reviewing existing models and identifying improvements.
Including new risks in Rabobank’s market risk framework.
Implementing new regulatory requirements like FRTB.
Working with IT to get model changes implemented in the Risk systems.
Carrying out regulatory exercises like the EBA stress test.
Working closely with other departments in the Financial Markets domain.
An example of our previous market risk projects that made a difference: We implemented the market risk framework for linear interest rate & FX derivatives in Rabobank’s new Front-to-Back-to-Risk system Murex . The result: Due to innovative use of spread curve methodology in the new system traders and senior management get much better insight in the market risks in the trading books and can manage these better.
With each other
Collaboration is at the heart of everything we do. Our Market Risk Methodology team brings talented people together to develop and maintain Rabobank’s market risk framework. With you as a Senior Risk Manager Methodology the team will consist of 11 diverse colleagues in a variety of roles, including:
Niels Zagers, Senior Risk Manager Methodology: “It is a pleasure to work in an international team with motivated and skilled experts. Our task is first of all to provide sound methodologies for risk monitoring and management. We are also responsible for capital calculations and we are the point of contact for the regulator for Market Risk. In this team regulatory requirements, quantitative models, financial products, (big) data, and number crunching all come together. If you enjoy that like me, you will enjoy helping us to design and implement our risk framework, but even more it will be rewarding to see how your work is used in daily practice.”
Tetiana Nemchenko, Senior Risk Manager Methodology: “My current position provides me with supportive and knowledgeable colleagues, constant motivation to improve my market risk knowledge and a broad variety of interesting market risk modelling topics to work on, that include, but are not limited to Incremental Risk Charge modelling, Stress testing, Risk not in Model and VaR framework. My daily work is done in close collaboration with model validation, IT departments and risk management on the trading floor. Together we are driven by the same goal - to provide the best market risk solutions for the bank.”
It's logical that customer focus, razor-sharp analytical skills, a delivering results mind set and being a team player are essential for the role of Senior Risk Manager Methodology. In addition, it's important that you recognise yourself in the checklist below:
a Master Degree in Econometrics / Quantitative Finance or related;
extensive knowledge of and experience with IRC modelling
a good understanding of the regulatory requirements related to market risk.
experience with and understanding of financial derivatives;
good programming skills (e.g. VBA, Python or Matlab);
a good command of the English language and a good communicator;
ability to think logically;
Growing a better world together
You'll already be aware that Rabobank is a financial services provider for 7.1 million customers in 40 countries. But did you know that we aim to contribute to real change with our 'Growing a better world together' mission? We do so in countless ways, such as:
Each year, we donate part of our profits back to society. We invest this money, which we call the co-operative dividend, in a variety of local initiatives.
With the Rabobank Foundation, we support social enterprises. This gives people experiencing barriers entering the labour market the opportunities they deserve, and helps them to participate fully in our society.
Together with the World Wildlife Fund, we're helping to create a harmonious balance between nature and the agricultural sector in Brazil.
Do you want to become the ideal version of yourself? We would love to help you achieve this by focusing firmly on your growth, development, and investing in an environment where you keep learning every day. We give you the space to innovate and initiate. In this way, we offer you numerous opportunities to grow and help you exceed your expectations, to do the right thing exceptionally well, and to therefore grow as a professional. In addition, with us (on the basis of a 36-hour working week), you can also expect:
a gross monthly salary between EUR 4500 and EUR 6000.
an Employee Benefit Budget ( 10 % of your monthly salary). You decide how to spend this budget. This may include purchasing extra leave days, making extra pension contributions or even receiving a monthly cash payout.
A personal budget that you can spend on activities related to your personal development and career.
100 % reimbursement of commuting costs if you travel by public transport! Do you still prefer to travel by car or motorbike? Then choose a commuting allowance.
a pension scheme, to which your contribution is only 5%.
Are you the person we're looking for? Are you ready to join Rabobank as a Senior Risk Manager Methodology and to make a difference to yourself, our customers and to society? We look forward to receiving your application for this vacancy in Utrecht.
Apply via the button “Apply now”. Responses will be handled in accordance with our vacancy management policy.
If you have any questions about the specific details of this position, please contact René van der Pol, Deputy Head Risk Methodology on +31 6 38910910 or [email protected]
Mohamed Chaaibi, Senior Recruiter would be happy to answer any questions about the application procedure via [email protected] or +31 6 233 614 65.
The application process includes screening. Based on the screening procedures in place at Rabobank, we assess whether new staff are reliable enough to work at Rabobank.
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