Model Validator Market & Operational Risk
Medewerker | Risk Management | Ervaren | Noord Holland | 2018-11-27 | REQ-10013883
MODEL VALIDATOR Trading, Counterparty Credit, IRRBB, Liquidity & Operational
Job Type: Risk Management/Research & Advice Job Category
Location: Amsterdam (The Netherlands)
ING is looking for high potential junior, medior & senior candidates to strengthen the “Market Risk” model validation team (MV), covering Trading, Counterparty Credit Risk, Interest Rate Risk in the Banking Book (IRRBB), Liquidity Risk & Operational Risk models within ING’s brand new Model RiskManagement department.
As a model validator your key responsibilities are:
- Technical review of risk and pricing models. Main focus areas are assessing the conceptualsoundness and developmental evidence of a model, as well as the compliance with regulationand performing quantitative analyses & independent testing.
- Writing high quality, detailed validation reports. These include a model risk assessment and recommendations for model improvement. These reports are shared and discussed with e.g.senior management, CRO staff, internal and external audit, the ECB and other regulators.
- Preparing reports/ad hoc requests for e.g. the Executive & Supervisory Board, CRO staff.
- Interacting with model developers, ECB (e.g. during onsite inspections), senior management,internal & external audit etc, in which your report and recommendations will be discussed andchallenged.
Your model scope is broad and includes:
- Trading Risk models: IMA, e.g. Historical VaR, IRC, Stressed VaR, Event Risk, Economic Capital, Stress Testing. SIMM: standard initial margining model.
- Trading Risk models: FRTB, e.g. Expected Shortfall, NMRF, SA etc.
- Counterparty Credit Risk models, e.g. CVA HVaR, CVA EC, Advanced CVA, Wrong Way Risk, Internal Model Method (IMM), SA-CCR, Stress Testing etc.
- Interest Rate Risk in the Banking Book models: client behaviour models (prepayments, savings withdrawals), savings & (mortgage) loan valuation, hedging & replication and risk reporting models (EaR, NPVaR, EVE, Economic Capital)
- Liquidity Risk Stress Testing models
- Operational Risk models: AMA
- Models for ING’s Risk Appetite Framework, Business Risk & Stress Testing
Moreover, this scope will be further expanding over time to also include non-regulatory models (inwhich e.g. machine learning, big data and artificial intelligence play an increasingly important role).
These models are amongst others used for measuring and managing various risk types in ING’strading & banking books, and for calculating regulatory and economic capital under the Basel regulations.
Your work environment:
MV is part of ING’s new Model Risk Management department and currently consists of 12 FTEs (apart from another MV team that currently focuses on Credit Risk IRB and IFRS9 models).
The aim is to at least double the team on short notice given the fast changing regulations, ING’s strategy and the increased global focus on model risk management.
The employees are highly educated (often PhDs) and from different international and interdisciplinary backgrounds. A challenging work environment, diversity, openness, empowerment,giving room for developing your talents and an Agile Way of Working further characterise MV.
MV is responsible for validating ING’s risk models worldwide. MV’s key objectives are:
1) assuring that models are reliable, “fit for purpose”, perform adequately and are compliant with internal policies and evolving external regulations.
2) increasing the understanding of a model’s limitations and weaknesses.
3) contributing to ongoing model improvements by e.g. challenging the underlying assumptions.
MV publishes detailed validation reports that address these objectives, summarising the model and its limitations, thereby issuing recommendations for model improvement.
MV’s main stakeholders are ING’s head office and local risk departments (in over 40 countries worldwide), senior management (including the CRO and Executive Board), internal and externalauditors, the ECB and other regulators. To ensure its independence, MV reports directly to the CRO.
Who are we looking for?
- You are accurate and thorough.
- You have an investigative and critical, though positive constructive mind set.
- You are familiar with market and/or other risk related theories/practice (e.g. trading, counterparty credit, IRRBB, ALM, liquidity, operational risks) and like to continuously develop your expertise and knowledge in a dynamic environment.
- You like to work as both an independent professional and in a high performing team, i.e. be pro-active, have high quality standards, be organised and work according to the planning.
- You like to write high quality reports in English.
- You are persuasive, like to interact with model developers and regulators and build positive relationships.
- You like to work in a validation team and want to further grow within ING, thereby being empowered and adopting an agile way of working.
- Has a strong quantitative PhD (or MSc) degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Applied Mathematics, Statistics etc.
- Knowledge of Machine Learning and Big Data is welcomed.
- Is familiar with/proficient in market and/or other risk related topics, e.g. VaR, financial products/derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, GARCH, financial economics, liquidity risk, ALM, IRRBB, counterparty credit risk etc.
- Has experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
- Has programming experience in e.g. Matlab, VBA, C++.
- Has excellent communication, writing & reporting skills in English.
What do we offer?
- A market conform salary (depending on relevant knowledge and experience).
- A 40h (or 36h) working week.
- A 13th month.
- A public transport ticket for the Netherlands
- Contribution to individual savings
- Possibilities for training
- An empowering culture & future career opportunities within ING