ALM Risk Consultant

Senior Manager ALM – Boutique Consultancy (Netherlands)

About the Role

We are seeking a highly skilled and experienced Senior Manager ALM to join our client a boutique consultancy in the Netherlands. In this role, you will lead and execute complex Asset and Liability Management (ALM) projects for financial institutions, covering IRRBB, liquidity risk, stress testing, regulatory compliance, and IFRS 9. You will work closely with clients—ranging from banks to payment institutions—to design and enhance their risk management frameworks, regulatory submissions, and strategic decision-making processes.

Key Responsibilities

• IRRBB & ALM Advisory: Conduct in-depth IRRBB assessments, including governance, model validation (e.g., prepayment and NMD models), ALCO reporting, and regulatory scoping for CSRBB. Deliver tailored recommendations to improve regulatory anticipation, adoption, and risk control.
• Regulatory Compliance & Risk Frameworks: Support financial institutions in meeting evolving regulatory requirements (e.g., EBA, ECB, Basel III/IV), including drafting policies, ICAAP/ILAAP reports, and regulatory business plans for banking license applications.
• Liquidity Risk Management: Develop comprehensive liquidity risk frameworks, including governance documentation, risk assessment methodologies, monitoring and reporting processes, and intraday liquidity forecasting tools.
• Stress Testing & Contingency Planning: Design and execute stress-testing frameworks, including market risk, interest rate, and liquidity risk scenarios. Facilitate contingency dry-runs, guiding clients through scenario design, execution, and regulatory reporting.
• IFRS 9 & Model Risk Management: Conduct external specialist reviews of IFRS 9 models, covering model validation, performance monitoring, post-model adjustments (PMA), and expected credit loss (ECL) estimation accuracy.
• Thought Leadership & Client Engagement: Act as a trusted advisor to senior stakeholders, providing strategic insights and best practices on ALM, treasury, and risk management. Deliver workshops and training sessions on key financial risk topics.

Your Profile

• PhD or Master’s degree in Economics, Finance, or a related field.
• Strong quantitative background, with expertise in market risk, liquidity risk, and interest rate modeling (e.g., GARCH, Monte Carlo simulations).
• Experience delivering regulatory-driven projects for banks, payment institutions, or financial regulators.
• Deep knowledge of IRRBB, IFRS 9, ICAAP/ILAAP, and Basel III/IV regulations.
• Strong consulting and client-facing skills, with the ability to translate complex risk topics into actionable insights.
• Experience in leading ALM, liquidity risk, or balance sheet management projects within a consultancy, bank, or financial institution.
• Excellent written and verbal communication skills in English (Dutch is a plus).