Market Risk Manager ALM

Our client is a bank based in Amsterdam area and providing services to retail, private banking and corporate clients. The bank has 60 employees in total. Risk Management department consists of 7 employees. Currently seeking a Market Risk Supervisor specialized in ALM to join Risk Management team in Amsterdam. You will be directly reporting to the CRO.

You will be mainly responsible for;

  • Supervision of the Market Risk and ALM control activities;
  • Development and management of the Internal Liquidity Adequacy Assessment Process (ILAAP) of the Bank;
  • Monitoring and reporting activities of all financial instruments, market risk limits, interest rate sensitivity and currency risk of all positions, internal and regulatory liquidity risk metrics (e.g. IRRBB, LCR, NSFR, ALMM);
  • Developing and performing stress test calculations related to liquidity risk and interest rate risk in the banking book;
  • Reviewing and/or developing Market Risk/ALM validation including data, model and process validation;
  • To establish liquidity policies and to provide management, measurement of liquidity risk, while monitoring and ensuring its compliance with internal and external risk limits;
  • To contribute for Basel III/IV and European compliance activities within the scope of IRRBB and liquidity risk;
  • Providing support to relevant departments in parent company with risk related matters;
  • To make calculations of Value at Risk (VAR) for accounts of the Bank subject to market risk and to test efficiency of the model relating thereto and to report to the CRO;
  • To provide effectiveness test for hedge accounting and to report to the relevant stakeholders;
  • To develop and maintain models/tools/systems in order to manage market, liquidity and interest risk;

Candidate;

  • Minimum 8 years of work experience in a related field;
  • Excellent analytical skills with (financial) mathematics background;
  • Expertise in financial risk management with particular focus on CRD and Basel regulations;
  • Excellent knowledge of Microsoft products, particularly Excel, Access, VBA;
  • Excellent knowledge of SQL;
  • Excellent programming skills;
  • Excellent communication skills in English, Dutch is a plus;
  • Being a good team player, pro-active;
  • Master’s Degree in quant studies is a pre;

Offer

  • A competitive salary package,
  • Participation to corporate pension scheme, fully paid by the employer,
  • Entitled to 40 holidays per calendar year,
  • Entitled to lunch contribution of EUR 100 per month,
  • Travel costs to the bank will be fully paid based on public transportation (2nd class).

For information: Dick Macrander – info@macrander.nl – 06-33315227