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Model Validator

Gazelle Global Consulting

Posted on Feb 6, 2021 by Gazelle Global Consulting

Not Specified, Netherlands
Immediate Start
€80k - €100k Annual

My client and international financial institution based in the Netherlands are looking for enthusiastic professional who enjoys performing quantitative analyses, writing & defending high quality validation reports, and have an intrinsic curiosity to continuously expand their knowledge, would this lucrative opportunity suit your skill set?

Working environment

  • Behavioural: Modelling of mortgage & other loan prepayments and non-maturity deposits, as well as other Embedded options in retail and wholesale products.

  • Interest rate: Market models (eg Hull-White model).

  • Valuation: Models used for calculating the economic value of a loan or deposit portfolio with Embedded options.

  • Pricing: Models used for product pricing.

  • Replication: Models used for risk transfer.

  • Risk measurement: Models used for risk management and reporting (NPVaR, RRaR, NIIaR).

Key skills;

  • A quantitative background, ie a MSc or PhD degree in eg (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics etc. with a minimum of 4-5 years of relevant experience.

  • Depending on seniority level, a curiosity about/are proficient in IRRBB/ALM modelling.

  • Solid programming experience (preferably in Python and/or R).

  • Strong verbal communication skills. You enjoy sharing and presenting your work to colleagues, senior management, auditors, the ECB and other regulators, and are able to defend your stand point in plain language.

  • Good English writing skills, you are accurate and skilled at drafting reports.

Should you like to know more then please feel free to get in touch.

Reference: 1085950494

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