About ABN AMRO

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Market & ALM / Treasury Risk Modelling

Market & ALM Treasury Risk takes care of the risk management of market risk, interest rate risk and liquidity risk. The department ensures that these risk types of the banking and trading book is in line with our internal risk appetite and that the risk is compliant with external regulations. The modelling team is a team of quantitative analysts, which develop risk models to measure these risks. We use mathematical and statistical techniques and implement prototypes for our models in for example Python, SAS and C#. The model scope includes the models used in Market & ALM / Treasury Risk and also counterparty exposure risk. Examples of risk measures are Value at Risk (VaR) of the trading book or Potential Future Exposure (PFE) of a specific derivative.

The modelling team works closely with our model users (the various business units, Market Risk Management, Traded Credit Risk Mangement, Liquidity Risk Management and ALM), model validation, finance and other internal stakeholders. The work is very diverse, varying from proposing model changes due to market circumstances, proposing new methodologies in order to implement new regulation to annual reviews of existing risk models.

Credit Risk Modelling

Credit Risk Modelling develops models to estimate the credit risk ABN AMRO runs on its clients. The outputs of the credit risk models are used to determine the level of capital, pricing of the credits, steering the banks’ portfolio and acceptance of new clients.

Depending on the portfolio the models can be based on historical data or on expert opinion. SAS and Python are the most frequently used tools in this department.

The work is diverse, modelling requires quantitative and programming skills. Also extensive knowledge of banking is needed because models are developed in close cooperation with business and risk management stakeholders.

Modellers work together closely to develop and maintain a model landscape that can accurately capture the credit risk on the banks portfolio in a fast changing world and at the same time meets the stringent demands by the regulators.