Model Validator Credit Risk
Employee | Risk Management | Professional | Amsterdam | 2020-02-25 | REQ-10022822
What you'll do?
- Validating risk models, including performing quantitative analyses
- Creating high quality validation reports that are read by e.g. senior management, CRO staff, audit and ECB
- Participating in meetings with model developers, senior management, internal & external audit and the European Central Bank
Your model scope is broad and includes:
- Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models
- Credit Economic Capital model (INCAP) and the concentration Risk Framework
- Stress Testing framework
- In addition, the team has the ambition to expend the scope to non-regulatory models such as underwriting models, pricing, early-warning systems.
These models are used for measuring and managing Credit Risk at ING Bank. In particular, the models in scope are used for calculations of the Loan Loss Provisions (IFRS9) as well as the Economic and the Regulatory (Basel II) Capital.
How to succeed?
- An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field
- A minimum of 2 years related work experience with credit risk models (PD/LGD/EAD)
- Extensive knowledge in modelling/validation in either A-IRB or IFRS9
- Programming experience in SAS or another similar programming language
- An independent, creative and pro-active way of working
- Critical but positive constructive mind-set
- A team player
- Excellent communication skills and ability to write clear reports in English.
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 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
- 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
With around 52,000 employees and operations in approximately 40 countries, there is no shortage of opportunities for people with initiative who want to make a diﬀerence. We hire smart people like you for your potential, not your past. Our biggest expectation is that you’ll stay curious. Keep learning. Take on more responsibility. In return, we’ll back you to develop into an even more awesome version of yourself.
If you want to work at the cutting edge of what’s possible, surrounded by progressive, inspiring and supportive colleagues, there is no better place to invest your talents than at ING. Join us. Apply today.