Quantitative Risk Analyst

Job description

Summary: NIBC Bank is looking for a Quantitative Risk Analyst – Hedge Accounting in our Modeling & Data Analytics team! Job Description: What will you do? Model development and maintenance: - Develop, enhance, and maintain the NIBC hedge accounting Python model; - Ensure correct modelling of hedge relationships, fair value calculations and hedge effectiveness testing; - Translate regulatory and accounting requirements into clear rules with efficient implementation; - Have a key role in data analysis and methodology updates in response to macroeconomic and portfolio developments; - Perform regular model monitoring; - Work closely together with the Product control team in Finance. Model ownership: - Maintain complete model documentation; - Support internal and external audits, model validation and audit processes; - Be part of the internal Methodology Advisory Group which is responsible for advising the Risk Management Committee and Asset and Liability Committee on methodological developments; - Ensure efficient coordination and collaboration with Model Validation, Finance and ALM. Your team: MDA offers an open, positive, and challenging environment through a diverse range of activit...