Junior Economic Scenario Generation Expert

Job description

We are looking for You! Your future company NN RAS (Risk and Actuarial Services) is a Centre of Excellence for NN Group, focusing on top quality and efficient solutions. We serve as an internal centre of consultancy, quantitative model development, automation and innovation. We support numerous departments at NN Head Office in the Hague (the Netherlands) and NN subsidiaries all over Europe. Now we are hiring to extend our Economic Scenario Generation team with a Junior Economic Scenario Generation Expert to contribute at the further improvement of the NN Risk systems. What we are looking for We are definitely looking for you, if you recognize yourself in the following lines: 🔸University degree in Financial Mathematics, Actuarial Sciences, Econometrics, Physics or related discipline 🔸Affinity with mathematical modelling. Ideally, practical knowledge of financial derivatives, including the techniques to price them 🔸Attention to detail, good analytical and communication skills in English, both oral and written 🔸Practical and pro-active hands-on approach - you can combine rigorous mathematical thinking with a practical business flavour 🔸Programming experience in Python and/or VBA is an advantage Your main responsibilities will include 🔸Perform calibration of stochastic financial mathematical models of interest rates, equities, and FX rates, using current market data like swap prices, swaption volatility surfaces, equity indices, and FX rates 🔸Generate interest rate curves and risk-neutral economic scenario sets for regulatory purposes (Solvency II, replicating portfolio for NN Group’s SCR internal model, movement analysis and market-consistent valuations under IFRS 17) 🔸Calculate illiquidity premia (ILP) for market-consistent valuations under IFRS 17 🔸Create non-standard risk-neutral and real-world scenario sets for pricing, ALM, ORSA and other regulatory purposes 🔸Maintain and enhance internal processes and end-user developed applications 🔸Support the maintenance and development of the applied financial mathematical models 🔸Consult with users and stakeholders, including Business Units and Head Office of NN Group What else we can offer 🔸Opportunity to work from home and the office as well, based on your choice 🔸Flexible working hours 🔸Challenging projects within an exciting international, yet familiar work environment 🔸Competitive compensation package 🔸Plenty of opportunities to develop yourself: skills and personal development are high priorities at NN RAS