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The Model Validator is a member of the ALM & Capital Model Validation team. The Model Validator performs high-quality validations mainly in the ALM & Capital domain. These validations contribute to identifying and mitigating the model risk at ABN AMRO in line with internal and external requirements and reflecting best market practices. The validator forms an independent opinion on matters such as the mathematical consistency of the model, its suitability for its intended use, the accuracy of the model and its proposed implementation. The findings of the validation are presented in a validation report. Such a report will typically contain a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified. Depending on their experience, the Model Validator levels I and II perform the activities described in this section with more or less help and guidance from a (Senior) Model Validator.
The Model Risk Management department consists of four Model Validation teams (Innovation & Projects, Credit Risk Model Validation, ALM & Capital Model Validation and Valuation & Market Risk Model Validation) and one Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank.
Validation is a powerful tool in model risk management and is a regulatory obligation. In this context, validation refers to the critical inspection of a model by a department separate from the one developing the model. The findings of the validation are presented in a validation report. Such a report typically contains a recommendation towards the risk committee mandated to grant model approvals, as well as proposals for mitigating action in case model deficiencies have been identified.
The ALM & Capital Model team validates the models employed for managing the market (e.g. interest rate) and liquidity risks associated with the products in the banking book of the ABN AMRO Bank. The scope of this validation team includes a variety of models ranging from the behavioral Interest Rate Mortgage Model to Market Risk in the Banking Book Economic Capital model. The validator in this team has a key role of:
The team examines, verifies, and challenges various modeling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analyzing the key components of the model, the validator identifies issues, proposes improvement opportunities, identifies the model risk, and shares the result with relevant parties. The team creates high-quality validation reports and provides them to the senior management as well as other key stakeholders. The ALM & Capital Model Validation team has the mandate to escalate the issues to the CRO of the bank.
General
Specific knowledge
At ABN AMRO, we use our knowledge, expertise, and network to help our clients within and outside the Netherlands achieve their goals based on responsible decisions. Our client's interests always come first. We want clients to understand our products, and we sometimes say ‘no’ if a product involves a risk that is too high for the client. Putting clients’ interests first also means communicating in plain language and crafting smart solutions that genuinely make a difference. That is our goal.
We are ongoing recruiting highly skilled people who can reinforce our team. We are happy to receive your application if you think you meet the recruitment criteria. The interview process consists of multiple interviews in which we focus on your experience, skills, and knowledge. Besides that we are also interested to learn more about you; what drives you, what do you consider as your qualities and area(s) of development. Please get in touch with Sabrina Wandl (sabrina.wandl@nl.abnamro.com, Team Lead) if you like to learn more about the position and get in touch with Willemijn Franken-Bary (willemijn.franken-bary@nl.abnamro.com), Recruiter if you like to learn more about the interview process.
The success of our organisation depends on the quality of our people and the ideas that they have. Truly surprising insights and innovative solutions for our clients result from an interplay of cultures, knowledge and experience. Diversity is therefore extremely important to our organisation. To ensure that everyone at ABN AMRO can develop their talents, we encourage an inclusive culture in which all colleagues feel engaged and appreciated.
De financiële wereld is nog nooit zo in beweging geweest als nu! Technologie evolueert razend snel en de kracht van innovatie heeft veel invloed op het financiële systeem. We hebben jouw talenten nodig om onze bank toekomstbestendig te maken. Wat je interesses of achtergrond ook zijn. We bieden een werkomgeving vol ondernemerschap en vrijheid om jezelf te ontwikkelen, zowel op professioneel als op persoonlijk vlak.
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