Risk manager methodology

Risk Manager Methodology

As a Risk Manager Methodology, you will play a crucial role in developing and maintaining counterparty credit risk models that manage the bank's exposure to counterparties and calculate capital requirements. Your work will directly impact the bank's ability to manage risk effectively and comply with regulatory requirements.

You and your job:

You will be responsible for ensuring the models used to manage the bank's exposure to counterparties and calculate capital requirements are compliant with regulatory requirements. This means updating existing models and developing new models where necessary. This includes developing and performing stress tests and analysing back test results. Furthermore you'll help improving the valuation of the bank's underlying derivate contracts like interest rate options.

Practical Examples:

• Improve the collateral algorithm to take into account cash flows.
• Analyse back test results to ensure the accuracy of the bank's risk models.
• Contribute to EBA stress test for counterparty credit risk

Top 3 responsibilities:

Review existing models and propose improvements where necessary. Implement new regulatory requirements like CVA capital. Improve the valuation of underlying contracts and derivates.

Together we achieve more than alone:

We believe in the power of difference. Bringing together people's differences is what makes us an even better bank. So we are very curious about what you can bring to our team at the Risk Management Department.

The 30 people in the Risk Management Financial Markets Advisory Department are responsible for developing and maintaining counterparty credit risk and market risk models and ensuring compliance with regulatory requirements. Working together is the way we work; as one analytical team at Rabobank.

You and your talent:

• Strong quantitative background:

  You have a solid foundation in quantitative disciplines such as a Master Degree in econometrics, quantitative finance, or a related field.

• Understanding of financial derivatives:

  You possess a good understanding of financial derivatives, including their valuation and risk management.

• Knowledge of regulatory requirements:

  You are versed in the regulatory landscape governing counterparty credit risk in the banking sector.

• Analytical skills:

  You have strong analytical skills that allow you to dissect complex problems, identify patterns, and develop effective solutions. Your ability to analyse data and draw meaningful insights is essential for improving the bank's risk management processes.

• Communication skills:

  You can effectively communicate complex concepts and models to various stakeholders, including non-technical audiences. Your ability to explain your work clearly and concisely ensures that everyone understands the assumptions and implications of your models.

• Teamwork:

  You thrive in a collaborative environment and can work effectively with colleagues from different departments. Your ability to work as part of a team ensures that you can contribute to the collective success of the Risk Management Department.

Reply to the vacancy for Risk Manager Methodology at Rabobank before December 14th 2024.

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https://www.rabobank.com