Job Description
ALM Financial Risk Management Expert
Our Financial Risk Management (FRM) department is responsible for ensuring that key financial risks—including liquidity, interest rate, counterparty, and market risks—are effectively monitored, controlled, and reported. Acting as the second line of defence for financial risks, the FRM team assesses the positions, proposals, and models developed by the Balance Sheet Management (BSM) department.
We are currently looking to strengthen our FRM team by hiring an ALM Financial Risk Management Expert. This role will primarily focus on interest rate risk in the banking book (IRRBB), alongside other quantitative aspects of Asset & Liability Management (ALM), such as counterparty and market risk.
Key Responsibilities:
* Identify, evaluate, and conduct stress tests on interest rate risks.
* Ensure efficient tracking and reporting of interest rate risks, with an emphasis on process simplification.
* Conduct quantitative analysis of risks arising from BSM proposals and behavioural models.
* Review and refine model assumptions to enhance accuracy and reliability.
* Develop and update second-line controls for IRRBB.
* Collaborate with ALM and Middle Office on risk assessment tools and implementation.
* Detect potential interest rate risks in banking products.
* Keep the group’s financial risk policy up to date.
* Provide risk management advice to senior management for strategic decision-making.
* Maintain close communication with primary stakeholders (BSM) and collaborate with secondary and tertiary teams.
* Coordinate with auditors during IRRBB-related audits.
* Monitor industry best practices and regulatory developments, ensuring proper implementation within BSM.
* Prepare internal and regulatory reports on interest rate and market risks, including stress tests, QIS, COREP, Pillar 3, TREP, CVA/DVA, and similar reporting frameworks.
* Present reports to key committees and ensure compliance with governance standards.
Requirements
Your Experience:
* A Master’s degree in a relevant field, ideally supplemented with FRM, CFA, or PRM certification.
* 4 to 10 years of experience in ALM or financial risk management within a banking or financial institution.
* Strong understanding of balance sheet dynamics, derivatives portfolio management, and technical risk concepts such as Greeks calculations and risk factor sensitivities.
* In-depth knowledge of banking products, derivatives mechanics, valuation, modelling, and risk frameworks, along with regulatory requirements, accounting treatments, and key financial ratios.
* Proficiency in at least one of the following programming languages: R, Python, SAS. Experience with Quantitative Risk Management (QRM) software is a plus.
* Strong analytical skills, with the ability to break down complex problems into actionable insights.
* Excellent communication skills—both written and verbal—allowing you to present technical ideas clearly to diverse stakeholders, including senior management, regulators, and external auditors.
* Fluency in English and at least one of the national languages, with a good understanding of the other.
Benefits
What We Offer:
* A dynamic and engaging work environment.
* A culture that promotes professional growth, autonomy, and collaboration.
* A healthy work-life balance, with flexible hours and remote working options.
* A competitive salary with fringe benefits, including meal vouchers, eco vouchers, and an extensive insurance package.
* A customisable benefits package through our cafeteria plan, allowing you to tailor elements to suit your needs.
* A permanent contract with long-term career prospects.
Requirements
Qualifications: Educational Background: Master’s or PhD in Mathematics, Quantitative Finance, Econometrics, Statistics, or a related field. Strong mathematical foundation, with experience in financial modeling and risk management. Experience: 3+ years of experience in a similar role within banking, financial services, or consulting, focusing on Model Risk, ALM, and Interest Rate Models. Solid understanding of the Basel III framework and its applications to banking risk management. Proven track record of working with ALM, interest rate models, and model risk frameworks in a banking or regulatory context. Technical Skills: Proficiency in programming languages such as Python, MATLAB, or R for model development and analysis. Experience with financial software (e.g., ALM tools, risk modeling platforms) is a plus. Strong understanding of quantitative risk techniques and statistical modeling. Language: Fluent in English; knowledge of Dutch or French is highly advantageous. Key Competencies: Strong analytical and problem-solving skills, with the ability to assess and interpret complex financial models. Excellent communication skills to work with cross-functional teams, including model developers, ALM specialists, and regulatory teams. Ability to manage multiple projects and meet regulatory deadlines while ensuring the highest level of accuracy and compliance. Detail-oriented, with a focus on mitigating risk through rigorous validation and quantitative analysis.