Senior QRM Manager

Contribute to the calculations and reporting on Interest Rate and Liquidity Risk for Rabobank’s 600 billion+ balance sheet.

You and your job
Being a Senior QRM Manager within the Chapter QRM in the Treasury ALM tribe means you are focused on forecasting Net Interest Income (NII) of Rabobank and measuring both Interest Rate Risk in the Banking Book (IRRBB) and Liquidity Risk. You will do this by using and developing our balance sheet management tool QRM. Results are shared with our stakeholders in Treasury, Finance and Risk, and include several decision-making committees plus external regulators. You will be part of the NII Forecasting squad, a skilled and international group of 9 people that deal with interesting forecasting puzzles on a daily basis. You will work in the dealing room for the Treasury department. This means you are at the heart of the bank. A very dynamic environment providing you with many opportunities to develop yourself!

Tribe Treasury ALM
Tribe Treasury ALM facilitates the wider Treasury department by providing key ALM metrics and analyses. As Senior QRM Manager you will be part of the ALM Engine Area, which is the area where the strategic ALM tool QRM is positioned. In both the Area and the Tribe we have a mix of competences, ranging from IT developers to QRM modellers. The NII Forecasting squad takes ownership for running stress tests and medium-term planning, producing monthly forecast results for complex entities and further developing the forecasting capabilities. You will be part of Chapter QRM, which is a young and international group of 31 QRM configuration and reporting professionals.

Practical Examples

1. Producing IRRBB stress testing results out of QRM for ICAAP.
2. Configure dynamic hedging optimization for interest rate forecasting.
3. Report monthly IRRBB forecasting results for key entities of the Rabobank Group.

Facts & Figures

1. 43,822 Rabobank colleagues around the world
2. 600+ billion balance sheet
3. 36/40 hours per week
4. Best of both worlds: work from home and spend 2 days a week at the office to engage with your colleagues
5. Diverse team with over 50% international colleagues

Top 3 responsibilities

1. Taking ownership for the setup of the calculation engine and the reporting.
2. Meeting the challenge of analysing balance sheet and market developments, and of configuring quantitative tools to maximize efficiency and accurateness in measurement and reporting.
3. Align frequently with main stakeholders (BSM, Control, Finance, Risk, IT).

You and your talent

1. Relevant forecasting experience with QRM;
2. Preferably a Master in a financial field like Financial Economics or Econometrics;
3. Knowledge of financial market products and how these are modelled;
4. Able to work with large data sets and software such as SQL;
5. Helicopter view of the banking business;
6. Pragmatic and eager to deliver your quality work timely in a structured manner;
7. Strong communication skills, both verbal and written;
8. A pro-active attitude and eagerness to learn;
9. Enjoy quantitative puzzles.

This is what we offer you

• up to EUR € 6.926,62 gross per month (depending on experience), scale 10;
• A thirteenth month and holiday pay, with the option to pay out monthly;
• An Employee Benefit Budget (11% of your monthly salary). You decide how to spend this budget. This may include purchasing extra leave days, making extra pension contributions or receiving a monthly cash pay-out;
• A personal budget that you can spend on activities related to your personal development and career;
• Working from home allowances and renumeration of internet costs;
• 100% reimbursement of commuting costs if you travel by public transport! Do you still prefer to travel by car or (motor)bike? Then choose a commuting allowance;
• A flexible pension scheme, in which you can choose between two contribution factors

You and the job application process

• Reply to the vacancy for Risk Manager QRM at Rabobank before January 21st.
• Any questions about the job content? Contact: Tim van Lent, Chapter Lead QRM via Tim.van.Lent@rabobank.nl
• Any questions about working at Rabobank and the process? Mail the recruiter Monique.Visser@Rabobank.nl
• We will hold the interviews through a video call.
• You can find answers to the most frequently asked questions on rabobank.jobs/en/faq.
• A security check is part of the process.
• We respect your privacy.

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