Join our team as an ALM Risk Manager and elevate your career while navigating the complexities of market risk! In this pivotal role, you will leverage your expertise in IRRBB and CSRBB to help shape strategies that drive financial stability. You'll have the opportunity to develop statistical models, assess customer behavior impacts, and provide critical insights to senior management. If you’re passionate about risk management and possess strong analytical skills, we want to hear from you! Enjoy a competitive salary and a vibrant workplace culture that champions teamwork and innovation. Apply today!
Description
* Act as a market risk expert, in particular for IRRBB and CSRBB;
* Support the ongoing development of a clear framework to identify, monitor and quantify IRRBB on the bank’s balance sheet;
* Support the development of market risk related statistical models;
* Assess the impact of customer behaviour on the bank’s interest rate risk position under different market scenarios;
* Conduct ad-hoc analysis and reports to provide comprehensive management insights;
* Execute stress tests and ensure proper life cycle management of relevant models and measurement and monitoring of applicable interest rate risk metrics;
* Support and provide market risk insight into capital plans, funding plans and funds transfer pricing;
* Maintain and execute model validation processes for the bank’s IRRBB related tools;
* Provide support and challenge to senior risk management and the 1st Line of Defence in managing and reducing financial risks;
* Any additional duties which will be assigned by the Senior Risk Manager.
Profile
* Fluent in Dutch, French, and English;
* Holds a Master's degree, preferably in Finance or a related field;
* Relevant experience working in IRRBB and CRBB risk, Treasury and/or market risk;
* Strong knowledge of IRRBB measures;
* Strong understanding of prepayment modelling and deposit stickiness assumptions;
* Strong understanding of balance sheet modelling and projections;
* Quantitative problem-solving skills;
* Hands-on experience in programming Python or R and using SQL.
Offer
* Competitive salary that reflects your skills and experience in the industry;
* Dynamic and inclusive workplace culture that values collaboration and innovation.