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Senior ALM Modeller

Posted on Nov 16, 2019 by Gazelle Global Consulting

Utrecht, Netherlands
Immediate Start
€50k - €75k Annual

As a Senior ALM Modeller, you will take ownership of model development and develop solutions that satisfy our customers and ambitions.

You can make a difference by leading our ALM modelling landscape into the future. You are surrounded by a diverse team of achieved professionals who create an open and fun atmosphere that stimulates your professional and personal growth.

  • Group ALM Models is at the core of the. You will develop models that are deeply integrated in our business model, and applied in areas like risk management, pricing, hedging and funding. Your models impact the whole balance sheet and millions of customers, and have an important role in the bank's strategic decision-making. Consequently, these models attract broad interest from various stakeholders throughout the bank including senior management.
  • Capturing client behaviour is key. You will keep up with new techniques, state of the art statistical models and machine learning algorithms and apply your knowledge to develop models and risk metrics for different purposes, like prepayment, non-maturity deposits, capital, basis risk and Fund Transfer Pricing.
  • In multidisciplinary projects, you will interact with a broad field of stakeholders inside and outside your department (eg Treasury, Model Validation, IT and risk departments) to understand their needs, ensure proper embedding of models and to be aware of relevant market and balance sheet developments.
  • You will support decision making with thorough analyses, and account for your work through comprehensive documentation and clear communication.
  • As a senior, you will be making key decisions with minimum input and explaining complex matter in a clear way to higher management, making sure a complete picture is being presented.
  • You will be on the front lines proactively seeking efficiency improvements and identifying issues that transcend current projects and serve as a coaching partner for more junior colleagues with regards to their soft and hard skills.

The Group ALM Models team brings talented people together to develop the next generation of ALM models that drive our business forward. With you as a Senior ALM Modeller, the team will consist of 25 diverse colleagues in a variety of roles.

If your friends were to describe you in a few key words, the answer would be: collaborative, customer-focused, being a team player and able to take on challenges with confidence and flexibility.

For the position of Senior ALM Modeller, you also have:

  • A Master's degree or PhD in a quantitative field (econometrics, mathematics, physics, or similar)
  • At least five years' experience in a modelling environment, preferably in ALM
  • Strong communication skills, both verbal and written, you are able to translate quantitative analysis into comprehensive information for higher management and business users
  • Your technology stack consists of SQL, Python or similar programming languages
  • You are capable of coaching colleagues and effectively coordinating multi-disciplinary projectsWe make sizeable annual investments in the voluntary sector in the Netherlands. This allows us to support about 1,250 sport and cultural organisations that are a second home to many people.
  • A thirteenth month and holiday pay.
  • an Employee Benefit Budget (10 % of your monthly salary). You decide how to spend this budget. This may include purchasing extra leave days, making extra pension contributions or even receiving a monthly cash payout.
  • A personal budget that you can spend on activities related to your personal development and career.
  • flexible working times and location-independent working.
  • 100 % reimbursement of commuting costs if you travel by public transport! Do you still prefer to travel by car or motorbike? Then choose a commuting allowance.
  • A pension scheme, to which your contribution is only 5%.

If you wish to apply for this role, please send me a CV for immediate consideration.

Reference: 796303115

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