How should we develop models in a changing world?
From foreseen changes such as massive regulatory changes to unforeseen ones with large impact such as the Covid19 pandemic : what does that mean for methodologies and model performance?
How can we develop a variety of compliant and accurate models which are consistent and aligned? What should be done to maintain these models in an efficient and sustainable way?
To answer these questions, the Quantitative Methods Team of ING is looking for experienced Risk Professionals that have a strong affinity with credit risk modelling.
The Quantitative Methods Team is a dynamic international team of highly qualified professionals within Financial Risk Model Development.
The team is responsible for creating state-of-the-art model development and monitoring standards (in line with IRB and IFRS9 requirements), tools and guidance for structural data delivery and automation of model development and monitoring processes.
These solutions are then used by modelling teams of ING across the globe to build regulatory compliant and accurate credit risk models, efficiently monitor their performance and ensure that the models are based on the data of the right quality.
On top of that, our team is responsible for development and maintenance of bank-wide models for credit economic capital and operational risk, as well as bank-wide one-off projects related to credit models.
Organizationally, the team is an integral part of Financial Risk Model Development and consists of four connected and flexible squads in the areas of IRB methodology, IFRS9 methodology, Economic Capital, and Automation & Data.
Due to the rapid growth of model development as a whole, we are looking for model development experts in all squads. If you have expertise in and are keen on developing structural solutions for credit risk model development please read on!
What you'll do
Depending on your background and personal development interests, the emphasis of your contribution will be in one of the four areas of data & automation, economic capital, IFRS9 or IRB, and will involve the following activities
You will take responsibility for developing bank-wide methodology based on best practices, academic research, and extensive analysis of the model-related regulatory frameworks, with applications in credit risk.
This includes the frameworks for model testing and model acceptance
Together with your colleagues, you will play a crucial role in enabling the development and maintenance of models, as well as guiding and advising model development colleagues, providing content support to model development teams, and explaining methodologies and results to stakeholders.
You will participate in the maintenance Credit Risk Economic Capital model(s) as well as the operational risk model, including the (re)development, calibration and monitoring of these models
You will support in delivering structural improvements in the data delivery process by e.g. improving the methodology for calculating derived data fields
You will collect and set detailed requirements for data delivering stakeholders, including data quality requirements
You contribute to and support the development and testing of automation tooling for model data quality assessment, model development and model monitoring
You will communicate and cooperate with and give advice to (senior) stakeholders within Financial Risk, Business, Risk Management, COO Risk & Finance, and Global Data Management as well as with supervisory authorities
You will contribute with your expertise to bank-wide one-off analyses such as regulatory requests and (internal) thematic analyses
You document your work in methodological standards, technical model documentation, monitoring reports and the likes.
The methodologies and models that you develop will cover all products and geographical regions in the ING Bank portfolio, all across the globe
How to succeed
You are keen on having consistent and aligned approaches for model development and model maintenance
MSc degree or PhD in mathematics, econometrics, physics or similar
Excellent knowledge of applied statistics and / or mathematics, for instance in the fields of multifactor modelling, GLMM, Bayesian Statistics, Importance Sampling Techniques
At least three years of experience with development of relevant risk models, being credit economic capital, IFRS9 and IRB models
Knowledge of the processes around the model life cycle such as governance and (central) data gathering, data modelling, data processing as well as data quality controls
Extensive knowledge of the regulations around the relevant models
Advanced knowledge of programming, preferably in SAS, SQL, Python, R
Knowledge of banking and financial industry, financial and lending products, and processes
Experience in being a sparring partner / advisor to senior management
You have strong analytical and problem-solving execution skills
You are an independent, creative and pro-active mind-set
You have organizational skills to work in a structured way and maintain focus on the broader picture
You have a focus on delivering pragmatic and feasible solutions
Fluent English language skills
You are keen on delivering new approaches by a research-oriented attitude
You have skills to effectively communicate with stakeholders (with non-technical background)
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 competitive salary tailored to your qualities and experience
A relocation package for applicants from outside The Netherlands
Great international career opportunities
Flexible working hours and the possibility to work at home
24 vacation days with a 36-hour working week. If you work 40 hours a week, you will receive 27 vacation days. Additional forms of leave are possible.
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