Junior Model Validator – IRRBB & ALM models

Deze vacature is niet meer vacant

Model Validation is looking for an enthusiastic, curious Junior Model Validator who likesto develop him/herself in the IRRBB validation chapter

ING’s global Model Validation IRRBB (“Interest Rate Risk in the Banking Book”) chapter is an energetic,diverse and collaborative international team consisting of about 15 highly qualified professionals ofvarious quantitative backgrounds, located in Amsterdam.

Following ING’s Think Forward Strategy to become the next generation digital bank, data and modelsare considered key assets in our bank. As model validators we safeguard the quality of ING’s models,which are used for all kinds of decision making purposes. We also contribute to the Model RiskManagement (r)evolution that is picking up worldwide, given that models are imperfectrepresentations of reality and hence may lead to financial losses and/or reputational damage. Toeffectively achieve these challenges, our Model Validation teams have been substantially growing in
size lately and will further grow, also internationally.

We are responsible for validating IRRBB & ALM (“Asset & Liability Management”) models used by INGin about 40 countries all over the globe. We cover an interesting, wide and evolving model scopeaimed to measure the impact of IRRBB on expected earnings and economic value as well as various ALM models used in balance sheet management. These models vary from those having a technically advanced quantitative orientation to those displaying strong expert judgment (in case of e.g. limiteddata availability). Our core business consists of independently assessing whether a particular modelis fit for the purpose it was designed for, based on the business context, academic theories, empirical evidence, regulations, best practices & technological innovations. Effective challenge is key in ourrole. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING andglobal financial stability.

The role of model validator

As a model validator you focus on and further learn about the topics related to the models in yourscope, using econometrics, quantitative finance, coding, business knowledge and relatedregulations. You perform in-depth analyses and write code to perform quantitative assessments.
You summarize your analyses and conclusions in clear, fact-based and persuasively written reports, which are presented to the relevant Model Approval Committee. You share your knowledge andeffectively communicate with team members and a wide range of internal and external
stakeholders. You also have the opportunity to participate in the development of innovative, state-ofthe-art validation frameworks and coding libraries.

Your main daily activities consist of the following:

  • Assessing the fundamental assumptions underlying the models in scope, whether themodels are correctly implemented in the systems, and their appropriateness given thebusiness and (evolving) regulatory context.
  • Writing high quality validation reports, to be discussed with e.g. model developers, seniormanagement, auditors, the ECB and other regulators. These reports include a description ofthe methodology, your model risk assessment of the various model validation dimensions,as well as a number of findings for model improvement (which require follow-up by thedevelopers)
  • Preparing ad-hoc analyses for e.g. senior management and providing advice on model risk.
  • Participating in the development of our new validation coding libraries.
  • Participating in the expansion and promotion of our new validation frameworks. These include policies, validation minimum standards and working instructions that aim to professionalize the model risk assessment based on the key model validation dimensions.

Your prospective model scope is broad and are related to the following main areas:

  • Behavioral: Modelling of mortgage & other loan prepayments and non-maturity deposits, aswell as other embedded options in retail and wholesale products.
  • Interest rate: Market models (e.g. Hull-White model).
  • Valuation: Models used for calculating the economic value of a loan or deposit portfolio withembedded options.
  • Pricing: Models used for product pricing.
  • Replication: Models used for risk transfer.
  • Risk measurement: Models used for risk management and reporting (NPVaR, RRaR, NIIaR).

As part of the IRRBB chapter, you will contribute to further building and developing the team bysharing knowledge, coaching more junior staff and by embracing ING’s Agile way of working.

Who are we looking for

We are looking for enthusiastic colleagues who enjoy performing quantitative analyses, writing &defending high quality validation reports, and have an intrinsic curiosity to continuously expand their knowledge. In particular, as a member of our team, you have:

  • A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics,Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physicsetc.
  • Two years of relevant experience.
  • Depending on seniority level, a curiosity about/are proficient in IRRBB/ALM modelling.
  • Solid programming experience (preferably in Python and/or R).
  • Strong verbal communication skills. You enjoy sharing and presenting your work tocolleagues, senior management, auditors, the ECB and other regulators, and are able todefend your stand point in plain language.
  • Good English writing skills, you are accurate and skilled at drafting reports.

Above all, you have a genuine passion to continuously improve yourself and our team. As a modelvalidator at ING, you will be empowered to have a true impact on ING’s future model landscape.Moreover, you will contribute to further implementing ING’s innovative Think Forward strategy.

Your work environment

  • The IRRBB Model Validation chapter is part of ING’s global Model Risk Management domain,which consists of multiple Model Validation teams (i.e. “chapters”, each focusing on a mainrisk area(s)) and Model Risk Oversight, located both in Amsterdam and Poland.
  • The domain has adopted and will further progress with the ING One Way of Working. In ourorganisational set-up, we distinguish tribes, chapters and squads.
  • Our main stakeholders are within ING’s head office and local risk management departmentsworldwide, senior management (including the CRO, his management team, the ExecutiveBoard and local CROs), internal and external auditors, the ECB and other regulators. Toensure its independence and effective challenge, Model Risk Management reports directly tothe CRO.
  • Our work environment can be described as dynamic and professional, with changingrequirements and needs. We work in a spirit of trust, a sense of purpose, curiosity,cooperation and open communications. Continuous learning, adding value to ourstakeholders and building on differences are important. We empower our people to takeresponsibility and promote continuous improvements, innovation and automation.

What we offer
At ING we offer you a 40 (or 36) hour contract. We care about an adequate work–life balance and weempower our colleagues to realize their ambitions: “Do your thing.” Our employment conditions arespecified here. In particular, we offer:

  • A flexible work environment, with the possibility of working from home.
  • Time and support for personal development, including courses.
  • A challenging, interesting and evolving job/career.
  • An informal and positive working environment with highly qualified colleagues, who like toimprove, value diversity and support each other.
  • An innovative, expanding working environment, also internationally, creating ampleopportunities for further development.
  • A progressive way of working according to the Agile method, so that new ideas come to life incrementally.
  • A competitive salary tailored to your skills, competences, experience and performance.
  • A choice in transportation allowances.
  • 27 vacation days with a 40-hour contract (or 24 based on 36h), as well 1.5 days of “diversitydays”.
  • A good pension scheme.
  • A 13th-month salary.
  • Individual Savings Contribution (BIS) (i.e., 3.5% of your gross annual salary.
  • 8% Holiday payment.

Interested to learn more?
Apply directly online by clicking on “Apply for this job”.

Watch and read why your potential future colleagues love modelling at ING by clicking belowlinks:
• https://www.ing.jobs/netherlands/Expertise/Risk-Management.htm
• https://www.ing.jobs/netherlands/Expertise/Risk-Management/model-validation.ht

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

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