Expert in Quantitative Methods Credit Economic Capital models

Deze vacature is niet meer vacant

ING is looking for Financial Risk Modellers that have a strong affinity with Credit Risk Economic Capital Modelling within the Financial Risk Model Development department. It is an energetic international department of more than 100 highly qualified professionals, who are determined to develop the best possible financial risk models to empower the customers of ING to stay ahead financially, in life and business. The expertise of the department lies in the development and management of all regulatory and non-regulatory Credit Risk, Market and Trading Risk, Operational Risk and Asset and Liability Management models with state-of-the-art modelling methods, tooling and data processing technologies. These models are core to the success of ING and they are applied for different purposes, amongst others to determine the exposure measurement, capital adequacy and the management thereof.

We are looking for an Experts / Specialist in Credit Risk Economic Capital modelling

How we work:

At ING we follow the Agile approach, using flexible frameworks like Scrum for our daily work. We are innovative and we trust people we work with.

The Financial Risk Model Development department is an international team of more than 100 highly qualified professionals. Our expertise lies in the development and management of credit risk, ALM and operational risk models.

The Credit Risk Capital models are core to the success of ING and include IRB and IFRS9 models (PD, LGD, EAD) for retail and wholesale portfolios, as well as non-regulatory models. The models are used by all local Risk Management (RM) units within ING.

As an Expert / Specialist in Credit Risk Economic Capital modelling, you will be given the opportunity to apply and gain further experience in Economic Capital modelling topics, using state-of-the-art modelling methods, tooling and data processing technologies.

What you'll do

You will participate in the development and maintenance Credit Risk of Economic Capital models for the measurement and management of credit risk at ING, as an integral part of the group-wide financial risk modelling team. You will take responsibility for:

  • Developing, implementing and maintaining all the models and related tooling using mostly Python, SAS or R
  • Monitoring of internal models through annual reviews
  • Performing periodical calibration of the models
  • Documenting the assessments in line with the required standards (e.g. technical model documentations)
  • Help and assist in the implementation of the models/tools you have developed

The models that you develop will cover all products and geographical regions in the ING Bank portfolio. ING’s lending activities reach all across the globe, from Europe to Australia.

How to succeed

  • An academic degree (MSc or PhD) in mathematics, physics, econometrics, quantitative finance, or a similar quantitative field
  • At least 3 year experience in developing Credit Risk or Market Risk Economic Capital models
  • Vast Experience with risk modelling in at least two of the following:
    • quantitative finance modelling, banking, pricing and credit and market risk models
    • advanced statistical techniques such as multifactor modelling, GLMM, Bayesian Statistics and Importance Sampling Techniques
    • development of (credit) (risk) IRB and / or IFRS9 models
  • Experience in financial and statistical programming using Python, SAS, or R
  • Knowledge of financial regulation (Basel, EBA, ECB, IFRS9)
  • Experience with databases, data modelling, data preparation and data quality control is considered a plus

Other requirements:

  • Strong analytical and problem-solving capabilities
  • Communication and presentation skills, advanced level of English (C1 or above)
  • Independent, creative and pro-active mind-set
  • Keen on innovation

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 yourself our employment conditions:

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

  • A salary tailored to your qualities and experience
  • Great international career opportunities
  • Flexible working hours and the possibility to work at home
  • Reimbursement for travel expenses
  • 24 vacation days with a 36-hour working week. If you work 40 hours a week, you will receive 27 vacation days
  • 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

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

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