Model Validator Market & Operational Risk
Medewerker | Risk Management | Ervaren | Amsterdam | 2020-01-22 | REQ-10022715
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 external auditors, the ECB and other regulators. To ensure its independence, MV reports directly to the CRO.
What you'll do?
- Technical review of risk and pricing models. The main focus areas are assessing the conceptual soundness and developmental evidence of a model, as well as the compliance with regulation and 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 and challenged
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 (in which 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.
How to succeed?
- You are accurate and thorough
- You have an investigative and critical, though positive constructive mindset
- You are familiar with the 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 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.