At a glance Within ABN AMRO, Risk Management is responsible for maintaining a healthy balance between risk and return from the perspective of a moderate risk profile. The department Market and ALM/T Risk acts as the second line of defense for market risk, liquidity risk and capital for the whole bank. It ensures that the business operates within the agreed risk framework. In addition, the department is responsible for the interpretation and implementation of new regulation, for the review of internal policies and providing risk opinions on new business proposals. The department is divided in three groups namely: Interest Rate Risk in the Banking Book, Liquidity & Capital Risk Management and Market Risk Management. The department consists of around 21 FTE. We are looking for a new head for Market Risk Management. The role is characterized by a significant amount of complexity and dynamics in products, type of business, regulation and governance and operates in a global context. Within the scope of Market Risk Management are the portfolios of Global Markets (e.g. Rates, Foreign Exchange, Credit, Commodities and Equities) but also the market risk within Treasury and the residual market risks of the activities within PBI and ABN AMRO Clearing.
HR Management - Performs the HR management of the department, focused on optimal development opportunities for the employees and the achievement of departmental objectives.
Development of the Market Risk Management Organization - Initiates, develops and manages the objectives formulated for Market Risk Management. This includes a timely and thorough response to requests from the Managing Board, Supervisory Board, DNB/ECB, Audit, and the MT of Market & ALM/T Risk. Assesses business cases for new and changed products or services regarding the Market Risk Management impact.
Risk analysis and Risk management - Assesses market and other risks for new product proposals, one-offs, limit proposals and new activities & locations abroad and ensures that the proposals of the business clearly identify all risks. Consult with senior management in case one-off proposals exceed the granted approval authority. Assesses whether the proposals are in line with the stated risk appetite, policy and risk/return ratio and informs senior management about material first-line proposals if they have a significant impact on the risk framework. Perform deep-dives on strategic matters.
Development of the Market Risk Framework - Follows market developments in the areas of Market Risk best practices, product developments, liquidity of products and gives advice for further optimization of the Market Risk Framework. Actively supplies, controls and maintains the Market Risk Framework within which market risks can be taken by the business and is ultimately responsible for the daily adherence of the Business to the agreed risk appetite and the associated limit/risk framework.
Market Risk Process and Market risk infrastructure - Contributes to the optimization of processes within the market risk systems globally and monitors the operational risk profile. Is aware of the assumptions within the Risk Framework and knows what the limitations are.
Positioning of ABN AMRO with regard to Market Risk Management - Expresses the vision of Market Risk Management. Knows how to recognize and mobilize stakeholders and commitment needed for relevant developments regarding Market Risk Management. Represents ABN AMRO and the Risk management organization in the right manner.
Risk Management & Compliance - Ensures compliance with internal procedures, so that the activities are organized in such a way that these requirements are met. Translates risk management and compliance policies into practical processes. Contributes existing knowledge in the field of market risk with regard to the Bank's policy, transaction structures, conditions, authorities, management, risk classification etc. to colleagues, so that they can effectively perform their duties. Supports and advises Market Risk Officers with their analysis and day-to-day risk management.
Vision and Policy - Follows relevant internal and external developments and highlights the consequences of these developments for the area of Market Risk. Develops a vision for the direction to be followed and the added value for the area of attention from one's own specialty, determines the policy on this basis and ensures adequate implementation and compliance.
Optimization of performance - Develops and makes policy proposals for the business plan of the main department, aimed at optimizing performance. Translates the business plan for use in the department and ensures the implementation. Formulates the objectives, method of implementation and operational, HR and budgetary aspects.
Regulations and external relations - Reviews and signs off reports for external parties (including the regulators), such as backtesting analysis, market risk solvency reports, stress testing, market risk reporting in annual reports or other external publications
Your working environment The head of Market Risk Management is member of the MT Market & ALM/T Risk, Business Risk Committee (BRC) Trading, Methodology Acceptance Group (MAG) Trading and acts as discussion partner of senior counterparts both within as well as outside Risk Management.The head of Market Risk Management - directly manages the Market Risk Management team consisting of approximately 6 FTE (consisting of Market Risk Officers in of different seniority levels). - is functionally responsible for approximately 5 FTE in foreign locations in charge of 2nd line market risk management locally. - is sponsor of all Trading Risk related change programs. - represents ABN AMRO towards the regulators (e.g. ECB, DNB) for Market Risk Management related topics.
Your profile General
Master or PhD in Economics, Finance, Econometrics, Mathematics or a similar.
A minimum of 10-15 years of experience in Market Risk Management, ALM or a Trading related role.
A minimum of 5 years of experience in an equivalent management function.
Strong personality, able to challenge but also to seek a mutually satisfactory solution on risk topics.
Team player, with a natural drive and enthusiasm.
Fluent in English both verbal and written. Specific
A thorough knowledge of market risk.
A thorough knowledge of financial markets and trading products.
A thorough knowledge of Market Risk Management business needs and processes.
A thorough knowledge of pricing and market risk models.
A good knowledge of capital management, regulatory requirements and upcoming regulatory changes.
A good knowledge of the strategy and (international) organization of a bank.
A good knowledge of (inter)national social, economic and monetary developments.
Knowledge of related topics such as Counterparty Credit Risk, Operational Risk, Finance and IT.
Proven knowledge of transaction, product and business approval processes.
Proven quantitative insight and analytical skills.
What we offer We are offering
The opportunity to be the best you can be, work flexible hours and lots of room to grow both personally and professionally
The opportunity to pro-actively work on your vitality and fitness
A supplementary benefit budget of 11%, which you can spend on additional fringe benefits
A personal development budget of EUR 1.000 per year
An annual public transportation pass or travel budget, depending on the function
A solid pension plan
Internal Number: 5925882
About ABN AMRO Bank
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