Omschrijving

Trainee programmer AEGON Asset Management

General

AEGON Asset Management is the strongly growing part of AEGON Netherlands, managing assets directly coming from institutional clients as well as from AEGON Netherlands' various businesses. Approximately 60 bIn Euro of assets are invested in fixed income, equity, real estate, money market instruments, commodities and alternative investments. Our client base is growing due to our professional and transparent investment policy and our strong investment performance. Efficient business processes, high calibre expertise as well as the dedication of our 120 professionals are the foundations of our success.

Department

The Derivatives & Hedging department is responsible for the construction and implementation of the derivatives portfolio with respect to hedging. A large part of our time is allocated to product development and managing the General Account for AEGON. The Derivatives & Hedging department is part of the AEGON Global Derivatives Organisation and strives for the following goals:

• Efficient hedge results by optimal use of derivatives and hedge models

• Financial risk control by monitoring of sensitivities and scenario's

• Sharing knowledge and best practices out of the different AEGON countries

• Control of operational risks

• Reduce transaction costs and improve pricing

Jobdescription

Derivatives & Hedging is looking for a temporary intern who will be responsible for rewriting an excel file (program).

 The program itself uses market data feeds, defines zero and forward interest rate yield curves and market volatilities including skew. It calculates values and scenarios for portfolios of interest rate derivatives in combination with liabilities and reports real-time P&L, Greeks and pal attribution. Also, external add-ins are used for the calculations, which have to be maintained.

 The following points describe the main responsibilities for the candidate:

• Rewrite the program which is written partially In VBA

• The new program has to be written fully Into VBA, but show "intra-calculation" results in excel to

maintain feeling with final results

• The new program has to be fully documented with respect to the VBA-code

• It is essential that the new program recalculates quickly, ideally realtime

Profile

The candidate has a programming background with a strong experience in VBA, especially in combination with Excel and Bloomberg. The candidate with a mathematical background and a special interest in combining his or her technical skills in an interest derivatives environment is to be preferred.

The job requires an accurate and structured way of working. All implementation has to be clearly documented (in English) and communicated to the supervisor.

Interested

For more information about this internship, you can contact Ineke ten Cate, 070-344 5372.