Model Validator Market & Operational Risk

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

Model Validator Market & Operational Risk

ING is looking for...

a Model Validator Market & Operational Risk

We are looking for experienced candidates to strengthen the Market & Operational Risk team within its Model Risk Management (MRM).


Job Description
As a model validator your key responsibilities are:

  • Technical review of risk models, including performing quantitative analyses.
  • Writing high quality validation reports (read by e.g. senior management, CRO staff, audit, ECB).
  • Preparing (parts of) reports for e.g. the Executive Board, CRO staff.
  • Participating in/representing MV in meetings with e.g. model developers, senior management, internal & external audit, the ECB.

Your model scope is broad and includes:
  • Trading risk models (e.g. Historical VaR, IRC, Stressed VaR, CVA, Event Risk, FRTB models)
  • Banking book models (ALM/IRRBB; e.g. mortgage/savings valuation & hedging/replication, client behaviour models (e.g. for loan prepayments, savings withdrawals), risk reporting models (Earnings-at-Risk, NPV-at-Risk etc.))
  • Economic capital models.
  • Operational risk models (AMA)
  • Models for e.g. ING's Risk Appetite Framework, Business Risk and Stress Testing.

These models are a.o. used for measuring and managing market risk in ING's trading and banking books, for operational risk purposes, and for calculating regulatory and economic capital under the Basel regulations.

Your work environment
MRM is part of ING Bank/Corporate Risk and consists of 24 FTEs. MRM 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.

MRM is responsible for validating the risk models used by ING worldwide. MRM's 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.

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

MRM's main stakeholders are ING's Financial Risk, Non-Financial Risk Departments and the Risk & Capital Integration department, CRO staff, ECB and other local regulators, internal and external auditors. To ensure its independence, MRM 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 familiar with market risk related theories/practice and like to continuously develop your expertise and knowledge.
  • 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 like to write high quality reports in English.
  • 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 or Quantitative Financial Economics.
  • Is familiar with market risk related topics, e.g. VaR, financial derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, financial economics.
  • Has experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
  • Has programming experience in e.g. Matlab, VBA.
  • Has excellent communication, writing & reporting skills in English.

What do we offer?
  • A market conform salary (depending on relevant knowledge and 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 dr Antoine P.C. van der Ploeg (Manager MV/Market & Operational Risk), either by e-mail antoine.van.der.ploeg@ingbank.com
For more information about careers at ING, check: www.ing.com.
We look forward to your application!