Quantitative Modeller / Modelling Analyst I

Job description

We want to develop a quantiative model to predict Duch house prices. This benefits both financial institutions which can do better risk management, i.e. determine the expected loss on a mortgage portfolio, and households which can accurately monitor the value of their greatest asset, their house. 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 is the job about?

The goal is to develop a quantative model to accurately predict Dutch house prices. You will start with collecting data. Next, you will develop in an iterative manner a quantitive model. Then, you will back-test the performance of the model against known market prices. Finally, you will write a report describine the data collection, model methodology, and model assessment.

You will work in the Model Validation department which is part of Central Risk Management. Model Validation is an international team of about 20 young and enthusiastic professionals.

Who are you?

We are looking for a passionate M.Sc. student with a strong quantitative background that will help us to develop a quantitative model to predict Dutch house prices.

Check your profile. 

- Excellent programming skills, e.g. at least one of the following languages: R, MATLAB, SAS, Python, and/or C++.
- Experience with developing models.
- Strong communication skills, both verbally and written in the English language.
- Minimal availability as an intern of six months.

Who are we?

The goal of the Model Validation Department is to limit the model risk of the ABN Amro bank to acceptable levels. This is achieved by (a) developing state-of-the-art validation standards, (b) defining a complete and compliant validation governance, and (c) by performing the actual validations of all of risk models. Furthermore, Model Validation performs as a centre of expertise by sharing knowledge on modeling, validation and regulatory compliancy wit all our shareholders both risk departments as business and external regulators.

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?

We offer you a dynamic work environment with room to think on the importance of modelling and model validation for risk management.

for the job or learn more?

Are you interested? Please online. For more information you can contact Ebbe Negenman , Hoofd Model Validation, ************@*******.** 3 835522. We look forward getting to know you.