Senior/Principal Model Validation Lead - IRRBB & ALM models


Model Validation (MV) is looking for an enthusiastic Senior/Principal Validation Lead, who enjoys being an expert leader in the IRRBB chapter

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

Following ING’s Think Forward Strategy to become the next generation digital bank, models are considered key assets at ING. MV safeguards the quality of ING’s models, used for all kinds of decision making. We also contribute to the Model Risk Management (r)evolution that is picking up worldwide, as models are imperfect representations of reality and hence may lead to financial losses or reputational damage. Therefore MV is substantially growing in size lately, also internationally (Warsaw, Poland).

We are responsible for validating ING’s IRRBB & ALM (“Asset & Liability Management”) models in 40 countries, used for e.g. measuring interest rate risk & for balance sheet management. Our core business consists of independently assessing whether a certain model is fit for the purpose it was designed for, based on e.g. the business context, academic theories, empirical evidence, regulations, technological innovations. Effective challenge is key in our role. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING and global financial stability.

Role of Senior/Principal Validation Lead

As a Senior/Principal Validation Lead, you specialize in the content. You’re the go-to expert for the topics in your scope (incl. econometrics, finance, coding, business knowledge, regulations etc.) You are fully aware of internal & external developments and understand the bigger picture. Besides performing validations, you share your knowledge with others, for their development. You play a key role in the development of innovative validation frameworks & coding libraries.

Your key activities consist of:

  • Performing high quality validations and summarizing your conclusions in well-written validation reports that bring value to our stakeholders. You align with e.g. model developers, senior management, auditors, ECB.
  • Taking responsibility for the quality of end-deliverables of other chapter members of the projects you supervise (e.g. validations, policy work).
  • (Pro-actively) sharing your knowledge via a.o. reviewing validation reports, presentations and teaching.
  • Coaching the validators from a content perspective and having weekly meetings with them for the projects you supervise.
  • Keeping abreast with the latest IRRBB/ALM developments and visiting/presenting at conferences.
  • Acting as a trusted advisor & sparring partner for senior management.
  • Joining the Tribe & Chapter Leads to model approval committees, audits & onsite ECB inspections, where you present validation reports.
  • Building bridges with the business, aiming to further understand the model (context), use and therewith enhance our added value (while maintaining MV’s independence).
  • Setting & improving on our validation standards/frameworks/coding libraries etc.

As a recognized expert leader in your field of expertise, you advise on a strategic level and are a driving force in defining which trends and innovations are relevant You’ll work closely with the Chapter Lead and Product Owner on work allocation, project duration and contribute to the design and execution of the tribe’s vision & strategy.

Your scope covers the following main areas:

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

Who are we looking for:

We’re looking for enthusiastic, communicative colleagues who have an intrinsic curiosity to continuously expand their knowledge. You’re an important reference point whenever (strategic) content expertise is required. By sharing your in-depth expertise you help other colleagues to continuously improve themselves. You’re a pro-active team player. You’re an advocate of ING’s Orange Code, a naturally collaborative person who listens to and invests in others to achieve common goals. You’re transparent, embrace the ING One Way of Working and enjoy coaching/teaching others on content related matters.

To take on this Senior/Principal Validation Lead role, you bring in senior expert knowledge, advanced quantitative methods & techniques, and the ability to think strategically. You have:

  • A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, (Financial) Mathematics, Quantitative Economics, Statistics, Physics.
  • At least 8-10 years of related work experience in modelling and/or validation of IRRBB/ALM related models, incl. knowledge of the business and associated regulations.
  • Ample experience in coaching others in contents. Teaching experience is a pré;
  • Experience with the agile way of working and an interest in progressing with this.
  • Ample experience with adequate, effective stakeholder management, as well as auditors, regulators and onsite inspections.
  • High quality standards, you are organised & persuasive, you like to interact and are a role model in these aspects.
  • Experience in being a pro-active sparring partner/advisor to Senior Management, in which your presentations are well structured, easy to follow and can be both high level and detailed (on e.g. the contents).
  • Fluent communication skills in English, both verbally and in writing.

Above all, you have a genuine passion for continuously improving yourself and our team. As a Senior/Principal, you’ll be empowered to have a true impact on ING’s future model landscape and contribute to further implementing our innovative Think Forward strategy.

You are prepared to travel occasionally. Your main base is Amsterdam.

Your work environment

  • The IRRBB MV chapter is part of the Model Validation Banking Book Risks Tribe within ING’s global Model Risk Management domain, which consists of multiple MV teams (i.e. “chapters”, each focusing on a main risk area(s)) and Model Risk Oversight, located both in Amsterdam and Warsaw (Poland)

  • The domain has adopted the ING One Way of Working. In our organisational set-up, we distinguish tribes, chapters and squads.
  • Our main stakeholders are within ING’s head office and local risk management departments worldwide, senior management (including the CRO, his management team, the Executive Board and local CROs), internal and external auditors, the ECB and other regulators. To ensure its independence and effective challenge, Model Risk Management reports directly to the CRO.
  • Our work environment can be described as dynamic and professional, with changing requirements and needs. We work in a spirit of trust, a sense of purpose, curiosity, cooperation and open communications. Continuous learning, adding value to our stakeholders and building on differences are important. We empower our people to take responsibility and promote continuous improvements, innovation & automation.

What we offer

ING offers you a 40 (or 36) hour contract. We care about an adequate work–life balance and empower our colleagues to realize their ambitions: “ Do your thing .” Our employment conditions are specified 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, positive working environment with highly qualified colleagues, who like to improve, value diversity and support each other.
  • An innovative, expanding working environment, also internationally, creating ample opportunities 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 “diversity days”.
  • 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 ”.

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Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO


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