Risk Model Expert at Rabobank and PhD- student at Korteweg – de Vries Institute for Mathematics
Doing Mathematics just for the sake of doing mathematics was of little interest to me. For this reason I decided to go work in the financial industry after finishing my master’s degree and apply my mathematics skills to solve complex problems. I became familiar with terms as “market and industry practice” and lacked the mathematical challenges, this at a time when models are failing due to negative interest rates and regulations puts more and more pressure on accurate financial models. I went into academia by means of a part time PhD position at a large Dutch bank. I now encounter the problems and weaknesses of financial models in practice and try to tackle them during my research. The ability of going into more depth on the same financial models I use for the bank is what I enjoy the most. As a practitioner I am able to identify the weaknesses of financial models while as an academic I am capable of researching the possibilities of improvement.
Mathijs van der Vlies
Master student Stochastic and Financial Mathematics and Intern at ABM AMRO
What has always attracted me to the SFM programme was the prospect of solving real problems with mathematics. In the past year I got to do just that: I started my 7 month internship in the Liquidity Risk Modelling team of ABN AMRO in January 2016. My task was to investigate the entire mortgage portfolio of the bank. When do clients pay off their mortgages earlier, and what would be the impact on the bank? What if interest rates increase? I could combine my prior knowledge of econometrics and interest rate models to improve on the current model within the bank.
Now, a year later, I am working full time at the bank, tackling the complex business of ABN AMRO Clearing. There is more responsibility, but the work is quite rewarding. I get to work with a young and bright team, and being in business, every day is a new challenge. The studying does not stop after university: strive to be an eternal student.
Rob Sperna Weiland
PhD Researcher in Mathematical Finance at Amsterdam Business School and Intern at Rabobank
When I was thinking about what I wanted to do for my final thesis, one of my main considerations was that I wanted my research to be practically relevant. At the same time, I was also thinking about what I wanted to do after my master and still had no clear idea on that. Doing an internship at a company was therefore an obvious choice for me.
I was happy to find a very interesting position at the model validation department of Rabobank, where I worked on modeling sovereign default risk. Indeed, working at Rabobank provided me with many insights into the issues that the industry is dealing with, and made my research definitely more practically relevant and applicable. On the other hand, I also experienced the need of the industry to solve these practical issues in a solid, fundamentally sound way. I therefore think that research internships form an ideal opportunity for both students and companies to benefit from each other. Also, on the more personal level, I think internships are a fantastic way for both students and companies to get to know each other better, who knows what might come out of it!