Senior XVA Specialist

At a glance

Are you ready for the next step in your career? At the XVA & Risk Management Team within Markets/Fixed Income and Derivatives we are looking for a new colleague with a diverse background in either XVA, Trading, ALM, Modelling or Regulations (Basel). Do you want to contribute to the XVA team and take our team to the next level? Then we want to hear your story!

Your job

You are part of the XVA & Risk Management Team, which is part of the Markets dealingroom in Amsterdam. We are the pinnacle within Markets. The team is responsible for managing the Cross-Valuation Adjustments (XVAs) and the scarce resources (a.o. RWA, balance sheet)  for Markets. We are a diverse team with different levels of experience and a broad skillset that brings the XVA Desk further every day. Aiming for continuous improvement we are looking to expand our knowledge and skillset to be future proof and you are the missing link.

So what could you work on at the XVA Desk?

• Impact analysis and implementation of regulatory changes
• Pricing transactions, active monitoring and hedging of the XVA portfolio.
• Create data analyses of all trade related data to get new insights that will help our team and Markets to efficiently manage our scarce resources.
• Closely work together and provide proposals on scarce resource optimisation and risk overlay.
• Work on ad-hoc or long-term projects where programming skills (Python, MySQL) and derivatives knowledge is required.
• Collaborate with our stakeholders (Quants, ALM, Sales and Trading teams,..).
• Be on top of financial markets developments (including ESG) to build a sustainable business

Your profile

We are looking for a senior person to contribute in expanding our XVA and scarce resources management. You will be the lead expert on regulations, contribute to daily XVA pricing of derivative contracts, improve tooling, training of junior staff amongst others.

Your profile:

• Quantitative Master Degree (e.g. Computational Science, Mathematics, Econometrics, or related).
• Extensive experience (10+ years) in XVA modeling, risk management, or a related area within financial services.
• In-depth knowledge of financial derivatives, valuation adjustments, and risk management principles.
• Understanding of XVA Management and hedging strategies.
• Detailed knowledge of regulation impacting markets scarce resources.
• Effective communication skills, with the ability to explain complex concepts to non-technical stakeholders.
• Self-starter who takes the lead in (new) projects.

We are offering

• The gross monthly salary displayed above is based on a 36-hour work week, including vacation pay and benefit budget.
• The Benefit Budget is 11% of your salary. The Benefit Budget allows you to acquire additional employment benefits. If you make no purchases or reservations in the Benefit Shop in a given month, you are paid one twelfth of your Benefit Budget that month.
• Five weeks of vacation per year. You have the option to purchase an additional four weeks per year.
• Personal development Budget of € 1,000 per year, which you can accumulate up to € 3,000.
• Possibility to work from home (in consultation with your team and depending on your position).
• An annual public transport pass with free public transportation throughout the Netherlands.
• An excellent pension scheme.

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.

Interested?

Don’t hesitate to contact Erwin Faas at Erwin.Faas@nl.abnamro.com for more information or apply directly. We are looking forward hearing from 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.

Disclaimer external recruitment agencies

External recruitment agencies need to have a signed agreement with ABN AMRO BANK N.V., executed by a Talent Acquisition Specialist, when submitting a resume to a vacancy. No unsolicited services or offers, please.