Senior Quantitative Risk Analyst

Vye Professionals; Amsterdam; On-site; EUR 60,000 - 100,000; Full time

Benefits offered by this job

Flexible hours

11% fringe benefits budget

EUR 1,000 personal development budget

Annual public transportation pass

Informal working environment

Challenging work on advanced problems

Career development opportunities

Job summary

An established industry player is seeking a Senior Quantitative Risk Analyst to drive key projects and enhance risk modeling techniques. This role involves coaching junior team members and collaborating with stakeholders to ensure impactful model delivery. You will tackle complex quantitative challenges, including operational risk modeling and credit state transition probabilities, using advanced methodologies. With a focus on personal and professional growth, the company offers a flexible work environment and significant development opportunities. Join a multicultural team dedicated to making a difference in the financial sector.

Qualifications

• 6+ years of experience in risk modeling, including IFRS9 and Stress Testing.
• Proficiency in programming languages for model building and data analysis.

Responsibilities

• Deliver key project goals and coach junior colleagues.
• Lead projects on modeling operational losses and transition probabilities.

Skills

Python

Matlab

SAS

Risk Modeling

Time Series Analysis

Bayesian Inference

Optimization Techniques

Job description

As a senior quantitative risk analyst, you will be responsible for delivering key project goals, coaching junior colleagues, and continuously improving our models. You will work closely with stakeholders to maximize the impact of your models.

You will lead one or more projects, such as:

1. Modeling operational losses for our advanced measurement approach (AMA) model for operational risk, using techniques like extreme value theory and copulas.
2. Modeling transition probabilities between credit states for IFRS9 and stress testing, employing methods such as time series analysis, Bayesian inference, and optimization techniques.

Requirements

• Proficiency in programming languages suited for model building and data analysis, such as Python, Matlab, and/or SAS.
• At least 6 years of experience in risk modeling, e.g., IFRS9, Stress Testing, and Operational Risk.

Our client is the third-largest bank in the Netherlands, serving around 6 million customers, with a significant impact on the economy and society.

What they offer includes:

• Flexible hours and growth potential both personally and professionally.
• An additional benefit budget of 11% for fringe benefits.
• A personal development budget of EUR 1,000 annually.
• An annual public transportation pass or travel budget.
• An informal, multicultural working environment with great colleagues.
• Challenging work on complex, advanced quantitative problems.
• Opportunities for career development and gaining experience across risk modeling, other bank areas, or international locations.