Financial Risk Specialist - ALM-T Risks

At a glance

As a Financial Risk Specialist, you will be a part of the team responsible for the oversight, measurement, and governance of the bank’s Liquidity and Market Risk exposures in the banking book.

You will ensure that the bank operates within its approved risk appetite, maintains strong regulatory compliance and continuously improves its risk measurement, monitoring and stress testing capabilities. You will partner closely with the ALM, Treasury, Risk Modeling, Finance and other Risk departments to ensure that the risks are sufficiently mitigated and the senior management if well informed.

Your main responsibilities are:

• Assist in the Liquidity and Market Risk Appetite and limit setting process;
• Monitor and challenge key Financial risk metrics defined within the Liquidity and Market Risk in Banking Book risk types and Early Warning Indicators.
• Take part in various initiatives related to ABN AMRO’s internal liquidity stress testing process: e.g. annual framework and scenario review, model and parameter updates, automation of reporting and analysis tools;
• Contribute to the validation, monitoring and analysis of liquidity and Intererst rate metrics, and establish and enhance a forward looking view on these metrics;
• Provide analysis for the annual ILAAP submission to the regulator and the Liquidity Adequacy Statement and assist in the advice and challenge of the Contingency Plan, Funds Transfer Pricing and related processes;
• Facilitate risks assessments on the new business proposals & activities and providing advices towards the1st line, such as ALM and Treasury or specific business lines proposals.
• Participate in change projects either driven by our teams or other Finance/ALM teams.

You will be part of an international team of motivated people. You operate in a "Second Line of Defence Capacity", which means the environment is of a strong control, oversight and effective challenge. You and your team will be the gatekeeper of the banks stability and contribute to the ability of the bank to continue servicing its clients and other stakeholders, even in periods of stress.

The vacancy resides in the Financial Risk Management department, which is the second line of defense for liquidity and market risk in banking book. The department consists of approx. 10 plus FTE and is situated in the dealing room of the ABN ARMO headquarters in Amsterdam. The most important business units that the department supervises are central ALM/T and Global Markets, but the responsibility is worldwide.

In this role, we have a direct reporting line to the CRO.

The environment is professional and disciplined. While there is a steady rythm of regular business as usual activities of monitoring and control, the environment can shift instantly based on market volatility, internal stress and geopolitical events. During the stress events, the pace accelerates rapidly, requiring quick turnarounds, stress testing and real time reporting to senior management. You must be comfortable pivoting from deep dive analytical sessions and framework setting to urgent high pressure briefing sessions.

The role is cross functional. You will collaborate a lot of ALM, Treasury, Finance and other Risk departments and thus requires a diplomatic yet firm communication style.

To be successful in this role you need to be motivated and proactive. You have an analytical mind and can see the big picture, while at the same time you also have attention for the details. You can explain complex issues in an understandable way and you like to cooperate with different stakeholders.

Are you interested: check your profile:

• A young professional with good understanding of Balance sheet management dynamics;
• 3-4 years of experience in the Financial risk / ALM / Treasury management or related areas;
• A Master’s degree in economics, finance or quantitative field (Econometrics, mathematics or similar)
• Experience with ALM models and model landscape. A quantitative background and Python or another programming knowledge is a plus;
• Knowledge of recent regulatory developments and overall regulatory guidelines in the liquidity and capital risk area…