Financial Risk Management
The Financial Risk Management (FRM) team consists of energetic, young and experienced professionals with FRM related expertise and who think outside the box. FRM consultants are known for their technical expertise, their focus on providing solutions and their entrepreneurial attitude. In addition, they regularly give speeches at seminars, provide lectures at universities and publish articles in professional journals. The goal of FRM is to become the undisputed advisor within the financial services industry regarding its focus areas: Capital Advisory and Risk Modelling.
FRM - Risk Modelling develops and validates risk models, performs actuarial calculations and focuses on Asset and Liability Management (ALM). In addition, they provide derivative valuations. Besides developing market and credit risk models, you will analyse behavioural and actuarial models as well. FRM - Risk Modelling provides advisory services to banks, insurance companies, asset managers and pension funds. The financial crisis, stricter regulations (like CRR, CRD IV, AIFMD and Solvency II), and changing financial markets have raised the need for advice and support at financial institutions.
Your position as Graduate Intern
As a Graduate Intern within the FRM – Risk Modelling team you are part of FRM’s talent pool. This means that besides writing your thesis you will also have the opportunity to work on projects for our clients. In addition, you could also support in preparing proposals and could contribute to research and writing articles.
Thesis subjects FRM - Risk Modelling
FRM – Risk Modelling has several interesting thesis topics available, but it is also possible to discuss topics you are interested in. Examples of theses written by ex-Graduate Interns are provided below:
Negative interest rates and SABR models
In the current interest rate climate, negative interest rate are not uncommon, causing issues when pricing certain interest rate derivatives. Stochastic alpha, beta, and rho (SABR) models are widely used as tools for pricing and hedging interest rate derivatives. However, these are no longer appropriate because of the assumption of a lognormal interest rate process (implying that interest rates cannot drop below zero). As a result, companies were no longer able to determine the value and risks of their derivatives. This thesis describes the possibilities of finding a solution for the current challenges within a SABR framework by making several adjustments to the model.
Modelling prepayments in a mortgage portfolio
Early prepayments of mortgages are a risk for banks. Therefore modelling the behavioural maturity of a mortgage is important for banks as this allows them to identify their interest rate and liquidity risks. This thesis includes a description of models available for modelling prepayments (such as logit models) and the variables determining prepayments (such as individual and macroeconomic variables).
Impact Basel III and EMIR on closing cross currency swaps in the corporate market
Companies are indirectly affected by regulations like EMIR and Basel III, which mainly focus on financial institutions. Identifying the costs and benefits of derivatives is generally a complex process for companies. It hampers their decision-making process, particularly because of the indistinct nature of new regulations. This thesis describes a method to quantify this decision-making process and make it transparent. The model is applied to companies that invest in countries with other currencies and thereby consider to use a cross currency swap.
Successful applicants will be/have:
- Almost obtaining a Master’s degree in: Econometrics, Mathematics, Economics, Finance, Business Administration, or a science Master;
- Interested in financial markets, ALM, funding, financial instruments and risk and capital management within the financial and/or corporate sector;
- A team player;
- Good communicative skills;
- Ambitious, independent, energetic and able to perform under pressure;
- Excellent analytical skills;
- Result-oriented, while ensuring the quality of work; and
- Proficient in English, both verbally and in writing.
Additional desirable qualities include:
- Proficient in Dutch, both verbally and in writing.
Deloitte Financial Risk Management has an informal atmosphere, which encourages discussions between each job grade of FRM. As you can expect, we will support you where we can, with a learning program and a boot camp specifically designed for consultants at the start of their career; a tailored competence model and continuous feedback. A colleague from the team will be assigned to you as a counsellor, who will guide you during your career at Deloitte.
More information regarding Deloitte Financial Risk Management can be found at: https://www.werkenbijdeloitte.nl/risk-services-financial-risk-management.html
The application procedure includes a screening of your CV, an assessment and three interviews, of which one contains a case. Please note that applications can be submitted in English as well as Dutch.
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For inquiries regarding this vacancy please contact Elise Guit on 088-2888780.
Acquisition based on this vacancy is not appreciated.