To staff this project at our customer, a large international bank, we are looking for a Risk Manager. The successful candidate will be hired by Yacht as an Interim Professional. This role can also be filled with a freelancer.
As a Risk Manager - QRM Expert within the Treasury ALM Tribe you are focused on forecasting Net Interest Income (NII) of the bank, measuring its Interest Rate Risk in the Banking Book (IRRBB) and Liquidity Risk (LR) positions, and applying Fund Transfer Pricing (FTP).
You will do this by using and developing our balance sheet management tool known as the Quantitative Risk Management (QRM) framework.
QRM is the primary risk management tool for IRR, LR and FTP calculations and is one of the largest and most complex calculation engines within the Rabobank organization.
QRM results are shared with our stakeholders in Treasury, Finance and Risk, and include several decision-making committees plus external regulators.
The ideal candidate can make a difference by:
- Being driven to continue to learn about balance sheet management.
- Having an interest in the advanced modelling of cash flow projections.
- Enjoying quantitative puzzles - finding practical solutions to complex methodological problems.
- Meeting the challenge of analyzing balance sheet and market developments, and of exploring quantitative tools to maximize efficiency and accurateness in measurement and reporting.
- Taking responsibility for the setup of the calculation engine and reporting.
- Efficiently implementing changes in risk metrics and behavioural models used in the balance sheet risk tool.
- Working with IT to ensure data feeds correctly into QRM. With each other Collaboration is at the heart of everything we do. Our QRM Chapter brings talented people together in terms of balance sheet risks and their methodologies, risk tooling, policies and risk appetite.
With you as a senior QRM expert, the cluster will consist of almost 30 diverse colleagues in a variety of roles within different fields of attention: explanation of results, reporting, process management, QRM maintenance and further development.
With you For the role of Balance Sheet Manager - QRM Expert in the Treasury team, essential attributes include customer focus, being a team player, strong communication skills, and eagerness to learn. In addition, it's important that you recognize the checklist below:
- Several years of experience with QRM or similar advanced ALM tooling;
- Preferably a Master in Financial economics or Econometrics;
- Knowledge of financial market products and how these and their related behavioural optionality are modelled;
- Advanced knowledge of modelling NMDs, non-linear risk and/or CSRBB;
- Pragmatic and eager to deliver your quality work timely in a structured manner;
- Affinity with configuring quantitative tools;
- Able to work with large data sets and software packages such as SQL;
- A helicopter view of the banking business;
- Working experience with the Agile way of working.
At Yacht you will receive personal coaching and HR guidance. We want to invest in your personal development through, for example, training on soft and/or hard skills. In addition, we organize networking events with an informal character, such as the Know Your Colleague editions (online), the Yacht summer BBQ & the New Year's dinner as soon as this is possible again.
The terms of employment are also as follows:
- The salary depends on your work experience and competences. The range starts from €4,750 and a maximum of €6,100 gross per month based on 40 hours
- At least one year contract, where we are happy to work towards an permanent contract
- Certainty, regardless of whether you work on an assignment through us, you will always receive 100% of your salary
- Possibility of bonuses
- 25 vacation days per year based on 40 hours
- 8.33% holiday allowance
- You will participate in our pension plan
- Travel allowance
- Option to work from home
Inclusiviteit en diversiteit
Uiteraard staat deze vacature open voor iedereen die zich hierin herkent. We geloven dat diverse teams van belang zijn voor ons als lerende organisatie, die voorop wil blijven lopen in de wereld van werk. Want juist verschillen tussen mensen zorgen voor groei. Van collega's, klanten, kandidaten en daarmee van Yacht. Heb jij een uniek talent? We ontmoeten je graag.