Senior Model Validator – Trading Risk models

Organisatie
ING
Locatie
Amsterdam
Opleidingsniveau
WO
Arbeidsvoorwaarden
Marktconform
Vakgebieden
Deze vacature is niet meer vacant

Model Validation is looking for an enthusiastic senior model validator, who enjoys being an expert leader in the Trading Risk v alidation chapter


ING’s global Model Validation Trading Risks tribe is an energetic, diverse and collaborative international team currently consisting of about 15 highly qualified professionals of various quantitative backgrounds, located in Amsterdam.

Following ING’s Think Forward Strategy to become the next generation digital bank, data and models are 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 Risk Management (r)evolution that is picking up worldwide, given that models are imperfect representations of reality and hence may lead to financial losses and/or reputational damage. To effectively 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 Market & Counterparty Credit Risk models used by ING in about 40 countries all over the globe. We cover an interesting, wide and evolving model scope aimed to measure the market & counterparty credit risks in trades with a counterparty. These models tend to be technically advanced quantitatively. Our core business consists of independently assessing whether a particular model is 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 our role. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING and global financial stability.

The role of senior model validator

As a Senior model validator, 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 consistof:

  • 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 trading risk model developments and visiting/presenting atconferences.
  • Acting as a trusted advisor & sparring partner for seniormanagement.
  • 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),useand therewith enhance our added value (while maintaining MV’sindependence).
  • Setting&improvingonourvalidationstandards/frameworks/codinglibrariesetc.

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

  • Market Risk modelling (IMA). E.g. Value-at-Risk (VaR) models, which capture the risk of fluctuations in the market variables that determine the value of traded products.
  • Fundamental Review of the Trading Book (FRTB).
  • Counterparty Risk modelling. E.g. Potential Future Exposure (PFE), Expected Positive Exposure (EPE), SA-CCR etc.
  • Valuation Adjustments. E.g. Counterparty Risk (CVA, DVA, FVA), Prudent Valuation (AVA) etc.
  • Standard Initial Margin Modelling (SIMM).

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

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 model validator 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 6 years of related work experience in modelling and/or validation of market and counterparty credit risk models, incl. knowledge of the business and associated regulations.
  • Ample experience in coaching others in contents. Teaching experience is apré;
  • Experience with the agile way of working and an interest in progressing withthis.
  • 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 inwriting.

Above all, you have a genuine passion for continuously improving yourself and our team. As a senior model validator, 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 isAmsterdam.

Your work environment

  • The Trading Risk chapter is part of ING’s global Model Risk Management domain, which consists of multiple Model Validation teams (i.e. “tribes”& “chapters”, each focusing on a main risk 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 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 and automation.

What we offer

  • A 40 (or 36) hour contract.
  • 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 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.

We care about an adequate work–life balance and we empower our colleagues to realize their ambitions: “ Do your thing .” More details can be found here .

Interested to learn more?

Apply directly online by clicking on the “Apply” button below.

Watch and read why your potential future colleagues love modelling at ING by clicking below links:

  • https://www.ing.jobs/netherlands/Expertise/Risk-Management.htm
  • https://www.ing.jobs/netherlands/Expertise/Risk-Management/model-validation.htm

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

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