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Market Risk Officer - ABN AMRO Bank

Location: Amsterdam
Employment: Full-time

We are looking for a:

Market Risk Officer


In this junior, medior or senior function you look at the market risk of all global Trading and Treasury books covering all asset classes. You monitor whether positions are within limits and mandate. Furthermore, you analyse the regulatory capital that ABN AMRO needs to hold against the Trading positions. You have an understanding of the valuation of derivatives, of risk models and of capital markets dynamics. In addition to your day to day tasks you will work on projects like EBA Stress Testing or analysis of large datasets using Python.


  • Monitors positions versus limits and policies, communicates irregularities with the Senior Market Risk Officer.
  • Assesses market risks for new product proposals, one-off transactions, limit proposals and new activities & locations worldwide.
  • Draws up a suitable risk report and provides it to the Head of Market Risk Management and Senior Market Risk Officer for approval. Potential topics for risk reports are proposals for new products or increases in business limits. The risk reports facilitate a proper assessment by the relevant risk committees.
  • Is responsible for carrying out analysis and delivering input for a definitive conclusion to Head of Market Risk Management and Senior Market Risk Officer.
  • Coordinates communication with business and outside risk management with the Senior Market Risk Officer and informs the Head of Market Risk Management on material 1st line proposals.

Market Risk Management process

Performs a regular review of the limits, the stress testing and stress scenario programmes as well as reviews of the portfolios. Monitoring of internal model performance through backtesting and benchmarking exercises. Performs acceptance tests on changes in the Market Risk Management infrastructure and reports results to the Head of Market Risk Management. Provides input for setting the functional risk requirements for projects. Identifies bottlenecks in the processes within Market Risk Management.

Regulations and external relations

Provides input for risk or model reports that are relevant to external parties (including DNB and ECB), such as backtesting analyses, market risk solvency requirements and stress testing.


  • Risk Management is responsible for a healthy relationship between risk and return taking into account ABN AMRO’s moderate risk profile.
  • Market & ALM/T Risk reviews and assesses risks, checks whether the business operates within the defined limits and mandates, interprets and implements regulations, designs policies, develops risk models and opines on business proposals.
  • Market & ALM/T Risk consists of three teams: Market Risk Trading Book, Market Risk Banking Book and Liquidity & Capital Risk Management.
  • The department consists of around 21 FTE.
  • The context of this function concerns an environment of increased complexity and dynamics in products, type of business, regulations and the global environment.
  • The following portfolios fall within the scope of the department: Treasury, Banking Book, Rates, Credit, Foreign Exchange, Commodities, Equity, Securities Finance and Clearing and the risks related to Pension obligations.


  • Master in Economics, Finance, Econometrics, Mathematics or a similar topic.
  • Well informed on developments regarding market risk best practices, internal policies, regulation, product developments and liquidity of products.
  • 2 to 10 years of experience in Market Risk Management, Asset & Liability Management or Trading related function in a global environment. Depending on your experience, we will discuss a junior, medior or senior function.
  • Knowledge of financial markets and traded products.
  • Knowledge of valuation and risk models.
  • Knowledge of capital management  and regulatory requirements.
  • FRM and/or CFA certification are a plus.
  • Programming skills (e.g. Python).
  • Highly team oriented, enthusiastic and proactive.

What we offer

  • Freedom to perform at your best, work flexibly and lots of room to grow.
  • Help to stay fit and healthy.
  • An additional benefit budget of 11%, which you can use to buy employment benefits in a flexible way.
  • A personal development budget of EUR 1000 per annum.
  • Free public transportation or a transportation budget, depending on function.
  • A good pension scheme.


Are you interested? Please contact Jop Houwen at We look forward to meeting you!

Equal opportunities for all

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.


Information and application:


Please send your application for Market Risk Officer at ABN AMRO Bank in Amsterdam including your CV via our website.

Job code:


Job posted

21 november 2020
Apply Now

More information:

Are you interested? Please contact Jop Houwen at We look forward to meeting you!

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Transistorstraat 7
1322 CJ Almere

Postbus 60184
1320 AE Almere

Tel: 036 - 7440 136

KvK 32090652
ING Bank NL91INGB065.42.67.456
BTW NL.8106.57.041.B01

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  Pieter Lammers