Project Description
FIRM : DURATION : 5 yrs, 10 mos
Function: Senior Quantitative Analyst
Duration : Feb – 2020 – dec 202
Location : Amsterdam – North Holland
Skills :
Member of the Historical Data team with a focus on ALM Risk. The team provides data to modellers which are used to create and and improved insights into ABN Amro’s liquidity position. As the sole senior teammember for ALM Risk responsible for picking up projects and guiding junior teammembers through the complete proces of planning, gathering information and requirements from financial modellers, finding and collecting the required information from ABN AMRO source systems, to transforming and delivering the required information into a usable format, and creating thorough documentation for involved businessparties for a number of models (i.e. Non Maturing Deposits, Non Maturing Assets, Non Maturing Loans, Economic Capital, various Mortgage related models).
Function :
Duration : 2020
Location : Amsterdam – North Holland
Skills :
Responsible for backlog and stakeholder management of the Risk Modelling Data ALM agile team (4-5 FTE). In addition to this also responsible for hiring candidates in order to grow the Risk Modelling Data agile team from 12 FTE to 25 FTE.
Function :
Duration :
Location : Amsterdam – North Holland
Skills :
Given the multitude of changes within the ABN AMRO application environment also involved in setting up a new (Microsoft Azure) Cloud Environment (both Analytics and Historical Data Environment) for Risk Modelling including the surrounding governance, making sure the current on-premise functionality remains intact.
Function :
Duration :
Location : Amsterdam – North Holland
Skills :
Member of the ALM Data Collection team. The team provides data to modellers which are used to gain improved insights into ABN Amro’s liquidity position. As a Senior teammember responsible for the complete proces from gathering information and requirements from financial modellers, finding and collecting the required information from ABN AMRO source systems, transforming and delivering the required information into a usable format, and creating thorough documentation for involved businessparties for a number of models. Models include Multicurve (advanced usage of multiple datasets into a single liquidity model) ,EC-IRR (Economic Capital Interest Rate Risk, advanced model for prediction of the effect of interest rate fluctuations on liquidity) and CSA (Credit Support Annex, collateral risk) and NMD (Non Maturing Deposits, Liquidity / Interest Rate Risk on savings accounts).

