Market Risk Consultant (QRM)

Levy Associates Ltd

Posted on Sep 13, 2021 by Levy Associates Ltd

Ouder-Amstel, Noord-Holland, Netherlands
Immediate Start
Annual Salary

For one of our leading clients in the banking industry Levy is looking for a Market Risk Professional with a minimum of 2 to 3 years of relevant experience in the Financial sector and Extensive knowledge of financial risk management.

In the coming years, the complete migration to the target ALM solution for the bank will be built in QRM. Therefore, additional risk managers are needed for the team who are eager to work on the onboarding of the bank's retail balance sheet to the QRM system, including sourcing the bank's portfolio data lakes. We are looking for someone who is passionate about managing and hedging market risks.

What are you going to do as a Market Risk Professional?

  • You will become responsible for managing roughly 150-180 bio. of assets and liabilities contributing to around one-third of the overall P&L. You will perform this responsibility in one of our four squads.

  • Your main task is to hedge the balance sheet in order to realise a stable margin and Net Interest Income for the bank. The hedges are largely dependent on client behaviour, so you will monitor and model the behaviour and spot emerging trends using big data analytics.

  • Because our hedges influence the cost-price of our products, you will be asked for advice by the business tribes in pricing and product decisions. In doing so, you have to know all the details of our product offerings (mortgages, savings, current accounts, business loans, consumer loans).

  • You will play a central role within the bank and your activities will impact overall P&L. Your success will depend on your ability to maintain good relations with our stakeholders.

  • You take part directly or indirectly in the migration of the bank's QRM for the monthly hedging process


  • An academic degree (MSc or PhD), preferably in econometrics or other quantitative studies such as Mathematics, Engineering & Physics

  • Finished additional professional qualifications in the financial risk field such as CFA, FRM, or the willingness to do so

  • Minimum of 2 to 3 years of relevant experience in the financial sector (eg. banking, insurance, consulting)

  • Extensive knowledge of financial risk management, relevant regulations, eg Basel/IRRBB, modelling and hedging techniques

  • Knowledge of - and preferably experience with the parameterization of - behavioural ALM models (prepayment, non-maturing deposit modelling)

  • Experience in being a sparring partner/advisor to Senior Management

  • Experience with advanced statistical/machine learning techniques and/or Datamodelling software (eg. Python, R) is an advantage as well as experience with QRM, and/or the implementation of other ALM vendor systems

Reference: 1319641007

Set up alerts to get notified of new vacancies.

Similar Jobs

Site Reliability Engineer - Tech company AI - Adam, NL

Amsterdam, Noord-Holland, Netherlands

€85k - €100k Annual

Software Engineer WM

Hoofddorp, Noord-Holland, Netherlands

€80k - €80k Annual

Web Developer - eCommerce

Amsterdam, Noord-Holland, Netherlands

Annual Salary

Senior C# Developer

Amsterdam, Noord-Holland, Netherlands

Annual Salary