The key responsibility will be to ensure that the bank has effective methodologies, models, infrastructure and tools to monitor the key risk indicators and limits, and to prepare detailed risk reporting on credit, market and liquidity risk to internal and external stakeholders by support. This will mainly be achieved through supporting, maintaining and developing in-house financial modelling, the suite of End User Computing (EUC) applications and management information system, and designing, reviewing and conducting periodic valuation and stress testing.
− Maintain existing solutions through periodic updates to address changes in data structure or regulations.
− Integrate new regulatory risk parameters into the existing liquidity risk management framework and reporting structure by updating current templates, reports and dashboards.
− Embed calculation logics and analytical abilities on liquidity risk metrics (incl. NSFR and 3M survival period) into the team.
− Maintain / enhance liquidity risk stress testing calculations by updating calculation logic, assumptions and using VBA based models.
− Develop a comprehensive solution (VBA/SQL based at the least) to capture all aspects of Credit Risk for daily solvency reporting, including:
o Capturing all customer exposure data from the banks data warehouse with the use of SQL.
o Capturing risk mitigation data from several sources to reflect to exposure data.
o Integrate current deal initiation process to the solvency management / projection system.
o Integrate COREP template to the solvency solution mentioned above to automate them.
o Develop reports/credit risk dashboard for Portfolio Management Committee.
o Calculate risk weighted assets based on any new Basel regulations (Standardised Approach).
− Maintain / update valuation logic and calculation process for existing / new products.
− Maintain / enhance Excel modules to manage market risk on banking book, incl. Earnings at Risk calculation module using Monte Carlo simulation.
− Maintain / develop other data tools to support other monitoring / reporting tasks internally
Desired skills and experience
− Strong VBA / SQL skills on a developmental level, experience on building database and data management
− Good understanding of risk regulations
− Ability to translate these regulations into risk models
− Ability to translate risk models into functional specification of tools that will calculate / monitor those risk parameters
− Ability to translate the functional specifications into VBA / SQL modules and create automated tools to calculate them
− Experience in market risk reporting and calculation logics, including present values, PVBP, yield curve generation using rates and spline coefficients.
− Experience of Microsoft SQL Server or other relational database development in general
− Team player and flexible hands-on working attitude.
− Strong academic background, educated in a quantitative subject, preferably Econometrics, Maths or Statistics, preferably at Master’s degree level
− Excellent in English verbally and in writing, Dutch knowledge is an advantage.