Model Validator Credit Risk

  • Competitive
  • Amsterdam, Noord-Holland, Netherlands
  • Permanent, Full time
  • ING
  • 20 Oct 17 2017-10-20

Model Validator Credit Risk

ING is looking for...

a Model Validator Credit Risk
to strengthen the Credit Risk team within its Model Risk management.

Job Description
The successful candidate will be:

  • Reviewing risk models, including performing quantitative analyses.
  • Writing high quality validation reports (read by e.g. senior management, CRO staff, audit, ECB).
  • Participating in/representing Model Risk Management in meetings with e.g. model developers, senior management, internal & external audit, the ECB.

Your model scope is broad and includes:
  • Credit Risk models, i.e. Probability of Default (PD), Loss Given Default (LGD) and Exposure at
Default (EAD) models
  • Credit Economic Capital model (INCAP)
  • Concentration Risk Framework and Stress Testing framework
  • Country Risk models

These models are used for measuring and managing Credit Risk at ING Bank. In particular, the models in scope are used for calculations of the Loan Loss Provisions (LLP) as well as the Economic and the Regulatory (Basel II) Credit Capital.

Your work environment
Model Risk Management is part of ING Bank/Corporate Risk and consists of 20 FTEs. It consists of two teams, the Market & Operational Risk team and the Credit Risk team. The employees are highly educated and from different international and interdisciplinary backgrounds.

Model Risk Management is responsible for validating the risk models used by ING worldwide. The key objectives are:
To assure that models are reliable, appropriate for intended use and compliant with internal policies and external regulations. To increase the understanding of a model's limitations and weaknesses. To contribute to ongoing model improvement.

Model Risk Management publishes detailed validation reports that address these objectives, describing the model and its limitations, thereby typically issuing recommendations for model improvement.

Our main stakeholders are ING's Balance Sheet Risk, Credit & Trading Risk & Non-Financial Risk Departments, the Risk & Capital Integration department, CRO staff, ECB and other local regulators, internal and external auditors. To ensure its independence, Model Risk Management reports directly to the CRO.

Who are we looking for?
  • You are accurate and thorough.
  • You have an investigative and critical, though positive constructive mind-set.
  • You are experienced in credit risk related modelling theories/practice/regulation and like to continuously develop your expertise and knowledge.
  • You like to perform quantitative analyses with e.g. SAS, Excel/VBA, Matlab, etc.
  • You like to work as an independent professional, i.e. be pro-active, have high quality standards, be organised and work according to the planning.
  • You are communicative and convincing.
  • You are persuasive, like to interact with model developers and build positive relationships.
  • You like to work in a validation team and want to further grow within ING.


Personal profile:
  • Has a MSc or PhD degree in (Financial) Econometrics, (Financial) Mathematics, (Quantitative) Financial Economics or related field.
  • Minimum 2 years of related work experience with credit risk models (PD/LGD/EAD) and has a good understanding of specific regulations.
  • Has experience with model building and/or model validation in a financial institution.
  • Has programming experience in SAS (experience with other programming environments is considered a plus).
  • Has excellent communication, writing & reporting skills in English.

What do we offer?
  • A market conform salary (depending on relevant knowledge and experience) salary scale range 9-11 depending on experience.
  • A 40h (or 36h) working week.
  • A 13th month.
  • A public transport ticket for the Netherlands
  • Contribution to individual savings
  • Possibilities for training
  • Future career opportunities in ING

Interested?
Apply directly online by clicking on "Apply for this job".
For more information, contact Amine Hamed (Model Risk Management/Credit Risk), by e-mail Amine.Hamed@ing.nl
For more information about careers at ING, check: www.ing.com.
We look forward to your application!