VAC - GBLEXT IT

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16 September 2019 ... min read Listen

Quantitative Project Lead

Employee | Tech | Manager/Expert | Poland | 2019-08-20 | ISP-5503

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Must have

  • You have 7+ years of experience with credit risk models
  • You have coordinated project teams of at least 3 people focused on timely delivery and state of the art quality 
  • You have coached less experience team members
  • You have guided and when required challenged people content wise on credit risk modelling specific issues based on continuously improving regulations and research papers
  • You enjoy assessing performance and looking for new ways to build risk models
  • You have a degree (MSc or PhD) in a quantitative/numerical, mathematics, physics, statistical field 
  • You have an extensive programming experience in SAS or similar tool (Python, R)
  • You have knowledge of statistical tools and modelling techniques
  • You have knowledge of IRB or IFRS9 models and regulation
  • You are characterized by an analytical and critical attitude
  • You are fluent in both oral and written English for business 

Nice to have

  • Knowledge of underwriting models or early-warning systems
  • Modelling expertise in other areas

How we work

At ING Tech Poland and ING group we follow the Agile approach and mindset. We use flexible frameworks like Scrum and Kanban at our everyday work. We are innovative and we trust people we work with. The broad autonomy our employees have, stimulates motivation and creativity what allows us to adapt to the changing requirements of business partners. Small units called squads are the core of our organization. They have clear vision of products, overcome challenges autonomously and based on team cooperation, work out the most flexible and effective way of working.

Risk Hub Warsaw was created as a part of central risk team currently located in Amsterdam. In Warsaw we are building following chapters:

  • Data and analytical engineering
  • Credit Risk Modelling
  • ALM Modelling
  • Model Validation

We are new organization currently creating our work culture and way of working our task is to set new standards for entire risk team.

People in Model Validation chapter assesses whether models are appropriate for intended use and compliant with internal policies and external regulations. Our goal is to increase the ING’s understanding of a model’s limitations & weaknesses and contribute to ongoing model improvement to ensure the added value of models. Together with the team in Amsterdam you will be validating models used for regulatory capital (Internal Rating Based approach) and loan loss provisioning (IFRS9), covering all components of the models for any type of portfolio globally. In addition, the team has the ambition to expend the scope to credit decision models such as underwriting models, loan pricing and early-warning systems. We use statistical techniques, amended with qualitative analyses, to assess the quality of the models and the appropriate use by the model stakeholders. Our reports are presented to Senior Management on group level to make decision on the ongoing use of models or approval of new models. Our reports are also shared frequently with external regulators (ECB), internal and external audit.

Scope of duties

  • perform assessment of credit risk models: 40%
  • write high quality validation reports: 20%
  • coach junior team members: 20%
  • interact with model stakeholders: 10%
  • ongoing improvement & coordination: 10%

Other requirements

  •  You are fluent in both oral and written English for business (C1+ level)

We take care of:

Your development

  • international projects
  • access to the newest technologies
  • trainings
  • certificates
  • professional development
  • free English lessons

Your health, physical condition and family

  • Private medical care
  • MultiSport card with 50% funding
  • Bicycle parking
  • Chillout and entertainment zones
  • Sports events

suitable working conditions

  • Stable employment conditions
  • Laptop
  • Mobile phone
  • Additional screen
  • Delicious coffee
  • Modern kitchen

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Please be aware that the recruitment procedures, (labour) regulations and labour agreements of Poland apply.

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