Market Risk/ALM Consultant

Finalyse Group; Brussel; Hybrid; EUR 70,000 - 110,000; Full time

Benefits offered by this job

Hybrid/remote options

Healthcare

Pension

Sustainable mobility

Flexible working

Job summary

Finalyse Group seeks a Market Risk / ALM Consultant to join our Risk Advisory practice. You will contribute to the development, deployment, and validation of risk models focused on IRRBB, ALM, and NMD behavioural analysis, across leading financial institutions.

You will work on challenging regulatory projects (Basel III, IRRBB, CSRBB, FRTB), perform model validation, stress testing, and governance improvement, and collaborate with international clients across Europe and the Middle East.

Qualifications

• Master's degree in econometrics, physics, mathematics, engineering or applied economics.
• 3–5 years experience in financial services, risk management or ALM.
• Hands-on ALM/IRRBB/CSRBB experience including NMD modelling.
• Familiar with scenario and sensitivity analysis (EVE, NII).
• Proficiency in Python, R, or MATLAB for data analysis and modeling.
• Strong communication and written English; other EU languages are a plus.
• Willingness to travel within Europe and Middle East.

Responsibilities

• Developing and validating ALM, IRRBB and CSRBB models.
• Support regulatory implementations Basel III, IRRBB, CSRBB, FRTB.
• Assess data quality and governance for regulatory reporting.
• Perform model validation and strengthen governance.
• Engage with clients and contribute to business development.
• Present findings to stakeholders and publish thought leadership.

Skills

Communication skills

English proficiency

Education

Master's degree in econometrics/physics/mathematics/engineering/applied economics

Tools

Python

R

MATLAB

Job description

At Finalyse, for over 35 years, we have supported (re)insurance and banking clients in navigating changes and embracing innovations in valuation, risk management, and regulatory compliance. Our commitment to contributing to a sustainable and resilient financial system drives us every day. We empower our talented consultants to design and implement efficient, pragmatic solutions, fostering a collaborative spirit with partners and clients. Our unique blend of financial and technological expertise has been the cornerstone of numerous successful projects and enduring relationships.

We embrace diversity at Finalyse, recognising the unique strengths everyone brings, and we are committed to creating an inclusive working environment that respects diverse beliefs and backgrounds.

THE ROLE

As a Market Risk / ALM Consultant, you will join our Risk Advisory practice, working on challenging projects for leading financial institutions. You will contribute to the development, deployment, and validation of risk management solutions, with a particular focus on Interest Rate Risk in the Banking Book (IRRBB), Asset & Liability Management (ALM), and behavioural modelling of Non-Maturity Deposits (NMDs).

RESPONSIBILITIES

• Developing and enhancing ALM, IRRBB and CSRBB models and methodologies.
• Supporting banks in the implementation of regulatory frameworks (Basel III, IRRBB, CSRBB, FRTB).
• Assessing the adequacy of systems, data quality, information flows, and controlling for regulatory reporting and disclosure.
• Performing model validation and providing adequate recommendations to improve bank’s models and to strengthen governance and controls.
• Contributing to stress testing and sensitivity analysis (EVE, NII).
• Designing and testing analytical tools and applications for liquidity risk measurement (LCR, NSFR, intraday liquidity) and reporting.
• Reviewing of systems in place for performing the Internal Liquidity Adequacy Assessment Process (ILAAP) exercise and its governance.
• Reviewing the robustness, effectiveness of the methodology, assumptions, documentation, end-to-end process flow, and governance related to fund Transfer Pricing (FTP) and Liquidity Transfer Pricing (LTP).
• Conducting workshops with business users, gathering business requirements, defining both functional & technical requirements, and building the quantitative models.
• Building and maintaining close relationships with clients.
• Participating in business development initiatives and internal projects.
• Raising and promoting the company’s image in the financial industry through publications in the Regbrief and participation in external conferences and networking events.

International exposure is part of this role: you should be open to short- and medium-term assignments abroad (e.g., within Europe or the Middle East).

REQUIREMENTS

• Master's Degree in econometrics, physics, mathematics, engineering or applied economics.
• 3-5 years of experience in Financial Services industry, preferably in risk management or ALM departments of banks, or in consultancy.
• Proven hands-on experience with ALM and IRRBB/CSRBB frameworks, including NMD modelling and behavioural analysis. You are at ease with scenario & sensitivity analysis (EVE & NII risk metrics) and valuation methodologies.
• Hands-on experience in the following areas: model development or model validation, valuation models for financial instruments etc.
• Knowledge of market risk or liquidity related regulations: FRTB, CCR/CVA, LCR, NSFR.
• Proficiency in Python, R, or MATLAB for data analysis and model implementation.
• Ability to work autonomously in a result-oriented environment.
• Very good communication, writing and presentation skills in English; other EU languages are an asset.
• Readiness to travel throughout Europe and in the Middle East.

WHY FINALYSE

• A meaningful role and mission contributing to the stability and responsible innovation of the financial sector.
• A diverse, multinational team of talented specialists and senior experts, committed to sharing knowledge, supporting each other, and driving collective success.
• A clear and flexible career path, with the freedom to shape your own specialization and grow quickly in a flat, agile organization.
• Personalised development through tailored technical training, recognised certifications, and continuous learning.
• A healthy work culture and environment that values wellbeing, work-life balance, and sustainable consulting practices.
• Flexible ways of working with hybrid/remote options, trust-based autonomy, and openness to part-time arrangements.
• A competitive compensation and benefits package, including healthcare, pension, and sustainable mobility options, etc.
• International exposure and opportunities to travel and work with clients and colleagues across Europe and beyond.
• Innovation and thought leadership opportunities, including internal initiatives, research groups, and access to modern tools and structured methodologies.