Student Employee Quantitative Analysis for Retail Credit Risk Modelling
ABN AMRO is on the trend of greater use of models. Driven in part by regulations, but the growing reliance on models manifests in all areas of the bank. For risk management purposes ABN AMRO has models in place for, among others, credit risk, market risk, operational risk, and liquidity risk, covering the entire balance sheet of the bank. These models use market and client data to predict the client behaviour and their risk profile based on the client characteristics, the economy and the market. Outside the risk management domain, model-based decision making becomes increasingly important and accepted. Our team, the Credit Risk Modelling team, is responsible for the (re)development of credit risk models for retail portfolios within ABN AMRO.
The Retail Credit Risk Modelling team (re)develops credit risk models focused on retail clients (mortgages, SME, etc.). By analysing client data from the past, existing models are updated and if necessary new models are developed. The resulting models predict the probability a retail client is unable to repay a credit, and consequently the expected loss for the bank. Based on that, the model determines the capital that ABN AMRO needs to maintain. In this way, the quality of the model has a big impact on the bank’s risk profile, and its profit and loss.
The team is a young and dynamic group of about 15 specialists with a very international and diverse background. This diversity, in terms of cultural background, academic and working experience creates an optimal blend.
ABN AMRO Credit Risk Modelling is looking for enthusiastic and social students with a strong quantitative background to assist the team with performing risk model (re)development. This includes data analysis and model performance analysis, but also joining in meetings with stakeholders from Business and Model Validation. In this way, you get hands-on experience with risk modelling work in one of the largest banks of the Netherlands. As a result, you contribute in making reliable quantitative risk models in cooperation with stakeholders and compliant with model regulations.
- Duration: between 6 and 12 months. If you successfully contribute to the team’s efforts, a contract offer for after your graduation will be considered;
- Good hourly compensation;
- Start: as soon as possible;
- Availability: 3-4 days a week. The hours in office can be flexible and upon agreement. Partly working from home is possible;
- Location: Amsterdam.
Do you think you will fit this job? Check your profile:
- MSc. student in a quantitative field (e.g., quantitative finance, econometrics, mathematics, physics or similar), preferably 6-9 months before graduation;
- Experience in at least one of the modern programming languages (Python, Matlab, C++, R) and/or statistical software (SAS);
- Excellent analytical and quantitative skills;
- Good communicative skills;
- Structured and well organised;
- Fluent in English, both written and spoken;
- Able to work independently, proactive attitude;
- An average grade of 8 or above for the core courses of your studies is a plus.
Are you interested and do you match the profile? Please send your CV and motivation letter to Adriaan Vuik (firstname.lastname@example.org).