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ALM Risk Modeler

Posted on Oct 11, 2019 by Gazelle Global Consulting

Utrecht, Netherlands
Immediate Start
€70k - €120k Annual

Risk ALM Modeller

Making a difference

  • ALM Modelling is at the core of this bank. The behavioural models they develop are key to interest rate risk and liquidity risk measurement and Funds Transfer Pricing (FTP), leading to a broad interest from various stakeholders throughout the bank including senior management.
  • You will have the opportunity to work with complex models and risk metrics, developing solutions that impact millions of customers. Modelling includes for example prepayment, non-maturity deposits, Capital for Interest Rate Risk in the Banking Book and basis risk.
  • You work together with other modellers and interact with a broad field of stakeholders outside our department to ensure proper embedding of the models in the organization and to be aware of market and balance sheet developments. You do thorough analyses, and account for your work through comprehensive documentation and clear communication.
  • You'll be on the front lines, presenting your own theories and taking your own initiatives to keep the bank moving forward.
  • Your technology stack consists of Python, Matlab, SQL and GIT, or comparable packages and programming languages.

With you

If we were to ask your friends 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 Risk ALM Modeller, you also have:

  • A Master's or PhD in a quantitative field (econometrics, mathematics, physics, or similar)
  • At least three years' experience in a modelling environment, preferably ALM
  • Strong communication skills, both verbal and written, you are able to translate quantitative analysis into comprehensive information for higher management and business users
  • Deep knowledge of Python, Matlab, SQL, GIT or similar and the ability to work with large data sets
  • Knowledge of the relevant regulatory environment and requirements
  • Pro-active and eager to learn

Creating an impact

  • You contribute to the monitoring of the credit risk profile of the loan portfolio.
  • You are responsible for challenging the model input and model outcomes and reporting on them.
  • This covers both the capital and the provisional reports as well as the quarterly reports on the development of the quality of the loan portfolio.
  • Based on the results of the models, you give advice for adjusting the credit policy.
  • You provide frameworks and advice on renewing customer service in the field of risk assessments and on the risk-return ratio (RAROC) of customers.
  • You fulfil a bridging function between model users and model developers.
  • Based on your knowledge, experience and insight, you act as a sounding board for senior management, business and risk managers regarding the development of the credit risk profile of the portfolio.


Do you want to become the ideal version of yourself? We would love to help you achieve this by focusing firmly on your growth, development, and investing in an environment where you keep learning every day. We give you the space to innovate and initiate.

In this way, we offer you numerous opportunities to grow and help you exceed your expectations, to do the right thing exceptionally well, and to therefore grow as a professional. In addition, with us (on the basis of a 36-hour working week), you can also expect:

  • Competitive daily rate
  • 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 pay-out.
  • 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.
  • Family private medical care.

Reference: 771461972

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