Vacatures in Institutioneel Vermogensbeheer
Zhuorui Zhang

A model is like a photo

Interview met Zhuorui Zhang - Risk manager/ modeller bij Rabobank

A bank is exposed to various types of risks, such as operational risk, credit risk and interest risk. Interest risk is managed at a central level. It means we have a broad view, and we are close to the real steering of the risk position. The results of my work are read by external investors, regulators and our senior management.

Within the Risk Management & Analytics department I have two roles. Some of my time is spent as Risk Manager and some of my time is spent on modelling. For modelling my focus is mostly on interest-rate risk and my recent project concerns different interest-rate scenarios. For example, I analysed the loss the bank will incur if the interest rate goes up or down by one hundredth of a base point. 

Models with major impact
A model is like a photo. If you use a good camera, the photo will be crystal clear. Use a bad camera, the picture is blurred and you could end up taking the wrong decisions. A fine model describes the bank accurately and supports our senior management with taking the best decisions. We set up analyses for the interest-rate scenarios for the Euro curve. In the past, we had scenarios that were based on expert opinion. Now they are based on historical data and expert opinion. We aim to discover the best interest-rate shock and how this will impact our banking position. It is a project with a major impact on the bank.

I’m a bit of a pioneer
I like my job because we are creating new models. It’s not model maintenance and that makes me a bit of a pioneer. You can come up with your own ideas, having interviewed the experts and studied the literature. You have to be eager to learn new things.

We are breaking new ground, no one has done this before, and we have lots of discussions with various stakeholders. You have to make choices, determine the best way to produce model results for the bank. That’s a huge challenge.

We recently carried out an assessment for basis risk. Basis risk is relatively new, and banks have not yet specialised in this area. Consequently, we have to find out how to measure it. A really nice assignment and massively challenging. It provides risk managers with insight into their position’s sensitivity to basis risk. 

Quant skills and personal skills
At Rabobank there are a lot of opportunities to grow and to develop your hard skills, and your soft skills. For example, I’m more confident now than I used to be and I improved my programming skills.

In my job I have to take the lead on a project, steer on the way, control the time lines and make sure everyone is on board. So, you need quant skills and personal skills to get people working together. That’s why you are encouraged to develop yourself on a personal and professional level. I want to grow in-depth. My job was about statistical knowledge. To gain more business knowledge I could switch to another team. Now I’m back at modelling with a better understanding of the business. You can swap jobs and do internships for a broader view and I had a 360 feedback several times. Off course you get a lot of responsibility, which helps a lot!

An open culture
Risk Analytics at Rabobank has a flat structure. The culture is open and you can come up with ideas. There is low hierarchy and top management is accessible. In the quant area it’s becoming more and more international. You meet and work with people from diverse cultures. I’m also learning about Dutch culture, like the long-distance skating race ‘Elfstedentocht’ and ‘Boer zoekt vrouw’, the reality TV programme where farmers look for a wife. 

Wil je dit interview verder delen?
Geplaatst: 11-7-2018


Transistorstraat 7
1322 CJ Almere

Postbus 60184
1320 AE Almere

Tel: 036 - 7440 136

KvK 32090652
ING Bank NL91INGB065.42.67.456
BTW NL.8106.57.041.B01

Wie we zijn is onderdeel van het platform van CareerGuide, 25 vacaturebanken voor specialisten!
Onze vacaturebanken (geen bemiddeling) bieden professionals relevante vacatures binnen hun expertise.

Ook een vacature plaatsen? Neem contact met ons op:

Nienke Smit   Pieter Lammers
Nienke Smit
  Pieter Lammers