IRRBB Model Validation

Location Amsterdam
Discipline: Risk Management & Quantitative Risk
Contact name: Lewis Clarke

Contact email:
Job ref: 878

My European Banking client are expanding their IRRBB model validation team in Amsterdam.

Having hired 12 professionals into the group since 2020, they are continuing to grow and have 9 new headcount approved for 2022. They are hiring at all levels from a recent MSc graduate to senior VP.


  • Assess the theoretical assumptions of IRRBB & ALM models
  • Ensure models are fit for purpose and correctly calibrated
  • Write model documentation and ensure compliance with modelling regulations
  • Develop new coding libraries


  • MSc or above in a numerical discipline (such as Physics/Mathematics/Quantitative Finance)
  • Knowledge of Python
  • Strong communication skills (written and verbal) in English
  • Exposure to IRRBB and ALM models
  • Prior experience in a quantitative role

The role is open to overseas candidates who are interested in relocating to Amsterdam.

Given the global movements within Interest Rates during the pandemic, this is an exciting opportunity to join the team and deep dive into the modelling.

For further information and a full job description, please submit a copy of your CV.