Junior Quantitative Risk Analyst

Summary

The Risk Models team is responsible for all central risk methodology covering all steps from the asset and liability inputs from the business units to the risks metrics that we use to manage the business on. This includes development and calibration of the market risk models and monitoring ongoing appropriateness of those, as well as owning the methodology on how the shocks resulting from those models are applied to the balance sheet by means of asset modelling and replicating portfolios for liabilities.

Next to development and calibration of risk models, close interaction with business units and our investment office are important responsibilities of the department. This concerns closely working with them during the review of model components to make sure the model accurately reflects our risk profile, but also supporting them in using the models to manage risks and take decisions on. As part of the interaction with the business units, the Risk Models team runs the Model Board, and visits business unit management teams help them understanding the models. Finally the team works closely together with the different departments within Group Risk management.

Responsibilities

• Contribute to redevelopment and maintenance of central market risk models, replicating portfolios and risk aggregation
• Ensure that documentation of models and technical standards owned by the department is complete and take ownership to keep such documentation maintained.
• Facilitate and review correct implementation of model changes into the reporting systems
• Provide expert knowledge to business units, investment office and other stakeholders
• Provide quantitative analysis and modelling solutions for value and risk management. This includes various ad-hoc analysis and impacts analysis of modelling changes on the group and BU risk metrics to support decision making.