IRB Specialist – Model Validation Credit Risk

ING

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

Arbeidsvoorwaarden: Marktconform

Solliciteren

Model Validation Credit Risk is looking for an expert on IRB

Our Credit Risk Model Validation tribe (CRMV) is a growing, energetic, international team of over 70 highly qualified professionals with various quantitative backgrounds located in Amsterdam (42) and Warsaw (30). We are responsible for validating all Credit Risk models used by ING worldwide. By bringing in our expertise we assure that models are appropriate for intended use, compliant with internal policies and external regulations and its limitations are well understood by the organisation. Our goal is to ensure a strong modelling landscape within ING. CRMV’s scope includes IRB, IFRS9, Economic Capital, Stress Testing and Credit Decision Models (CDM) such as acceptance scorecards and early warning systems.

We are looking for a specialist on credit risk models and regulation with particular focus on IRB scope. Within our agile organisation, we bring together these specialists in ‘’Guilds’’. The ’’Guilds” consists of experts who facilitate the continuous improvement of our practices in credit risk model validations. Together with IRB Guild Lead, you ensure that the Chapter leads and Validators work in accordance to the ING model validation standards, particularly with regard to IRB rating systems.

The activities of a Specialist

As a Specialist/Guild you are an expert in our team on credit risk model validation related topics. You:

  • advice our team during their validations on ING best practices, interpretation of regulation and IRB validation approaches
  • support the IRB Guild Lead to create the standard way of working by ensuring continuous improvement of our IRB policy framework, supporting tools, working instructions and templates
  • work together with IRB Guild Lead to deal with ECB’s requests on IRB matters
  • provide input on IRB related policies created elsewhere in ING (e.g. model governance, development standards, credit risk policies)
  • perform horizonal reviews over all IRB models on specific topics
  • support the validation teams to analyse how IRB models play a role in ING, such as in IFRS9 credit approval and credit monitoring processes.
  • translate new developments within the industry to the implications to ING and CRMV, such as new regulation, industry best practices, academics and industry benchmarking exercises
  • facilitate knowledge sharing within the team
  • support ongoing initiatives on continuing improvements on standardisation and automation within CRMV
  • contribute to validations projects.

Who are we looking for?

We are looking for colleagues with strong technical capabilities and deep knowledge of IRB practices and its link to IFRS9 framework and Credit Decision models (CDM). You get energized by being an expert on credit risk model validation and finding solutions for the most complicated model challenges that can arise in our work.

You like to think strategically and initiate continuous improvements. You are supposed to be comfortable to constructively challenge existing practices within and outside CRMV.

You have:

  • an academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field
  • detailed knowledge on IRB applied regulations: Basel, CRD/CRR, EBA guidelines and Regulatory technical Standards
  • at least 5 years related work experience with credit risk models
  • acquaintance with modelling and validation in IRB approach
  • excellent communication, writing & reporting skills in English
  • an investigative and critical, though positive constructive mindset

The following areas give you an extra advantage:

  • knowledge of ECB supplementary validation reporting
  • familiarity with IFRS9 framework
  • understanding of application scorecards, early warning system or other credit risk related models
  • experience in Agile way of working

You are prepared to travel occasionally. Main base is Amsterdam.

Your work environment

  • Our Tribe is part of the Model Risk Management (MoRM) department which currently consists of three validation tribes (Credit Risk; Trading Book Risk and Banking Book Risks) and a Model Risk Oversight tribe.
  • MoRM has adopted the ING One Way of Working. In our organisation set-up we distinguish Chapters and Squads. CRMV has chapters & squads with each their own focus on all the models of specific business units. In addition, we have one Chapter ‘Strategic Improvement’ that focusses on all cross-chapter topics. The Specialist is part of this Chapter.
  • Our main stakeholders are ING’s head office and local risk departments, senior management (including the CRO and Executive Board), internal and external auditors, the ECB and other regulators. To ensure its independence, Model Risk Management reports directly to the CRO.
  • The environment that you work in can be described as dynamic, professional with fast changing requirements and needs.
  • CRMV promotes a culture of continuous improvement & innovation, ongoing feedback and empowering people to take responsibility.

What we offer

A job from 36 to 40 hours and a unique offer that fits in with the times of today. We take into account your home situation and your ambitions and help you to balance work and private life. Discover our employmentconditions.

To give you an idea, we will tell you about the benefits of working at ING:

  • A salary tailored to your qualities and experience
  • 24 vacation days with a 36-hour working week. If you work 40 hours a week, you will receive 27 vacation days
  • Reimbursement for travel expenses
  • Pension scheme
  • 13th-month salary
  • Individual Savings Contribution (BIS), 3.5% of your gross annual salary
  • 8% Holiday payment
  • Personal growth and challenging work with endless possibilities to realize your ambitions
  • An informal working environment with innovative colleagues who strive for the very best
  • Progressive way of working according to the Agile method, so that new ideas come to life

Interested?

Apply for this job now!

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

Arbeidsvoorwaarden: Marktconform

Solliciteren

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