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Junior Model Validator - Rabobank

Locatie: Utrecht

Do you have a master in quantitative finance, econometrics, mathematics, physics or related field with 1-2 years’ experience in finance?  

The position
Together with the Pricing Model Validation (PMV) team you will be responsible for the validation of all pricing models within Rabobank that are used for daily profit and loss (P&L) calculations.  This includes the models that are used to calculate the sensitivity of the daily P&L to market inputs. The responsibility implies validation and research on state-of-the-art and best-practice models used for interest rate, inflation, credit, FX and commodity derivatives.

Your main task will be the validation of new derivative models created by front office and periodic review. An important validation step is the independent replication of the model in C#. Periodic review is the process of checking whether or not existing validated models meet current best-practice criteria. You will be working mainly on interest rate derivatives.  To be successful you have to cooperate with financial engineers, risk managers and members of the middle office and product control department.  

Our department
The risks of the Rabobank Group portfolios are managed by Risk Management (RM). For this purpose models are used. The task to verify that models are performing as expected is assigned to the Model Validation department within RM. The department consists of teams for credit models, capital and asset liability models, pricing models and model governance.  The validation of pricing models is performed by the PMV team. Currently, the team consists of 10 highly motivated members.  

Your profile

  • You have a master quantitative finance, econometrics, mathematics, physics or related field.
  • You have at least 1-2 years’ experience in finance.
  • You implemented different pricing models based on a mathematical description.
  • You have programming experience in an object oriented language like C#, C++ or Python.
  • Your written and verbal communication skills in Dutch and English are excellent
  • You have strong numerical skills, are independent and a real team player
  • You like to present conclusions of the validation to practical banking audience
  • You have been working with MS Office applications (Excel, Word, and PowerPoint) and the typesetting system LaTeX.

Your competencies
Besides the Rabobank core competencies of Customer focus and Collaboration, the following competence is required for this position:

  • Deliver results

What we offer
Rabobank offers a competitive salary and fringe benefits. Your salary depends on your education, knowledge and experience.

  • A challenging working environment within a cooperative team of professionals

  • The opportunity to develop yourself in co-operation with senior colleagues on market/product knowledge, best-practice pricing modelling and the use of pricing models in practice.

  • Training and courses to grew into role with more responsibilities.

Additional information
If you have any questions about the application procedure, please contact Mohamed Chaaibi, recruiter, 06-23361465. 

This vacancy will be published until 26th January 2018.

How to apply
If you are interested in this position, please send your letter of application, including job number and detailed CV in English, to Mohamed Chaaibi, recruiter, using the ‘Apply now’ link.

The application procedure can include an assessment.

The Rabobank Group screens all interns and new employees according to the ‘Rabobank Screening Regulation’ in order to ascertain whether the applicant may hold a position at Rabobank.

Location: Utrecht

Information and application:

Apply:

Please send your application for Junior Model Validator at Rabobank in Utrecht including your CV via our website.

Job code:

1700024C

Job posted

12 januari 2018
Apply Now

More information:

If you have any questions about the application procedure, please contact Mohamed Chaaibi, recruiter, 06-23361465.

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Contactgegevens

Careerguide

Argonweg 14
1362 AA 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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Nienke Smit   Pieter Lammers
Nienke Smit
n.smit@careerguide.nl
06-41454957
  Pieter Lammers
p.lammers@careerguide.nl
06-41454956
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