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Senior Quantitative Risk Analyst (Market & Counterparty Credit Risk) - ABN AMRO Bank

Location: Amsterdam
Employment: Full-time

We need you!

Are you skilled in math and do you love analytic work? Do you want to be responsible for the development and improvement of financial risk models? Is working with other modellers in a professional team something you enjoy? And do you also take pleasure in assisting and coaching junior officers when it comes to complex issues?

Then this just might be the position you’re looking for! Tell us your story. We are curious. If you’re already good, we’ll make you even better. That’s a promise. So seize this opportunity to develop into the professional you aspire to be.

What do you see when you envision the next step? Work on achieving your goals and develop yourself professionally and personally. Tell us your story. We want to hear it!

What is the job about?

You’re part of the Market & Counterparty Credit Risk Modelling team. This team is responsible for models that are used on a daily basis to calculate market risk and counterparty credit risk for the Trading book. Also margin models, collateral models and prudent valuation models are in scope of this team. As a senior Quantitative Analyst, you’re the point of contact and bear responsibility for a number of market risk or counterparty models. The quality of these models can have a big impact on the bank’s trading profit and loss.

You’re the expert when it comes to quantitative risk modelling and analysis. You perform statistical analyses on data and research how the models operate with prototypes. After implementation, you’re responsible for the testing of models in complex Front Office systems.

Within Market & Counterparty Credit Risk Modelling you will work closely together in a dynamic, international team of 8 people. The department is part of Risk Modelling, which is a growing, international team of more than 90 professionals. We are the centre of excellence within the bank for developing quantitative risk models, which inform the bank in its daily decisions, from pricing of deals and granting of customer credits, through to setting and monitoring of market risk limits and determining capital requirements for the bank.

Who are you?

Do you think you’re a good fit? Check out your profile:

  • Quantitative academic education (Master’s degree or Ph.D.) in a relevant field, like econometrics, mathematics or physics;
  • At least five years of relevant work experience in quantitative analysis, preferably within risk modelling in banking and finance.
  • Experienced in financial mathematics, option pricing theory and stochastic calculus as well as the most recent developments in these fields;
  • Thorough knowledge of financial markets and products;
  • Strong analytic skills;
  • Highly experienced in modern programming languages (Python, Matlab, R, or C++);
  • Able to work under high pressure;
  • Excellent team player with the ability to coach juniors;
  • Advanced interpersonal and communicative skills;
  • Well versed in English, written and spoken.

Who are we?

Working at ABN AMRO means becoming even better at what you do. We understand clients, translate their ambitions into joint success and thus earn their trust. We want our clients to understand our products. It's why we sometimes say 'no' if the risk attached to a product is too great for the client. Serving the client's interests is also a question of offering – and communicating – a transparent range of products. Banking is our business, the world is our challenge.

What do we offer?

ABN AMRO offers an informal multi-cultural working environment with great colleagues in which you bear responsibility and can make a difference. Work that has an impact on large groups of people. We challenge you every day to get the best out of yourself, in which you decide how high you want to set the bar allowing you to grow into the professional you want to be.

At ABN AMRO you get an excellent work-life balance with room to organize your time and shape your working day. We offer room to grow including a wide range of training opportunities. The position comes with a competitive salary and excellent benefits, with room for personal preferences. So seize this opportunity to develop into the professional you aspire to be.


Interested? Apply for the position online. For more information, please contact Gabry van Beek, Talent Acquisition Specialist, (06) 46 28 30 05. We look forward to meeting you.


Information and application:


Please send your application for Senior Quantitative Risk Analyst (Market & Counterparty Credit Risk) at ABN AMRO Bank in Amsterdam including your CV via our website.

Job posted

10 oktober 2020
Apply Now

More information:

For more information, please contact Gabry van Beek, Talent Acquisition Specialist, (06) 46 28 30 05.

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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

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