- performing the validation for quantitative models, including banking book models (client behaviour and ALM/IRRBB models), IFRS9 and ICAAP/ILAAP models used within Aegon Bank NV, independent from model owners and business users;
- performing an assessment on the model’s integrity, including the performance of the model and the ongoing appropriateness of its specification;
- present the model validation opinion, encompassing both quantitative and qualitative assessment of the model, to Aegon Bank Model Validation Committee;
Aegon Bank N.V. is a 100% subsidiary of Aegon The Netherlands N.V. and is located in The Hague. We are active in the development, distribution and maintaining savings, investment and pension products for our customers. Aegon Bank also developed Knab, a fast growing, innovative Fintech banking operation and financial platform. Aegon Bank and Knab are managed as one balance sheet under the bank license of Aegon Bank N.V.
The FRM team is responsible for the overall management of financial risks within Aegon Bank N.V. The team advices the Risk Committees within Aegon Bank, as well as the Executive and Supervisory Board on the risk profile of the bank. Other responsibilities of the team are, among other
- providing risk reports to the ALCO and other risk committees;
- performing model validation for financial risk, ALM and capital models within the bank.
- A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering);
- At least 3 years working experience in relevant fields (financial modelling or risk management in financial industries);
- Programming experience in e.g. Matlab or R;
- Strong analytical skills, and result driven;
- Excellent communication, writing and reporting skills.
AanbodAegon aims to be an employer of choice in the financial services industry. As a global company, we offer excellent terms of employment, a very diverse and inspiring work environment, and development opportunities. Moreover we offer:
- A competitive salary
- As extra you receive a 13th Month and a holiday allowance as a flexbudget of 16.7% of your monthly salary.
- Good work/life balance including a minimum of 27 vacation days.A commuting allowance.
- An excellent pension plan and discounts on Aegon products.