CNT - VACANCY Risk Management

11 september 2019 ... min. Luister

Economic Capital Credit Risk Modelling Specialists

Medewerker | Risk Management | Ervaren | Amsterdam | 2019-09-10 | REQ-10020866


ING is looking for specialists in Economic Capital Credit Risk modelling

Who we are:

The Financial Risk Model Development department is an international team of 80 highly qualified professionals. Our expertise lies in the development and management of credit risk,  ALM, Market risk  and operational risk models.

The Economic Capital credit risk 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 globally within ING.

As a specialist in Economic Capital credit risk modelling, you will be given the opportunity to gain further experience in Economic Capital modelling topics, using state-of-the-art modelling methods, tooling and data processing technologies.

We are looking for new team members who have:

·        An academic degree (MSc or PhD) in econometrics,  quantitative methods, statistics, mathematics, physics or a similar quantitative field

·        Sound knowledge of statistical modelling and econometric methods

·        Experience with statistical programming (e.g. R, Python, SAS)

·        At least 2 year experience with development and/or validation of Economic Capital credit risk modelling

·        Knowledge of financial regulation (Basel, EBA, IFRS9)

·        Knowledge of and experience with advanced statistical techniques such as multifactor modelling, Monte Carlo simulation, etc.

·        Experience with databases, data modelling, data preparation and data quality control is considered a plus

What you will be doing:

You will participate in the development and maintenance of Economic Capital credit risk 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 tools using mostly SAS, R or Python
  • Monitoring of internal models through annual reviews
  • Translating external and internal development into model improvements
  • Performing periodical calibration of the models
  • Documenting the assessments in line with the required standards (e.g. technical model documentations)

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.

It would also be great if you have:

·        Strong analytical and problem-solving capabilities

·        Excellent English communication and presentation skills

·        Independent, creative and pro-active mind-set

·        An innovative mindset


Vragen over deze vacature?

Neem contact op met Kinga Marcela, Recruiter. E-mail

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