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Junior Model Validator – IRRBB & ALM models

Bedrijf: ING
Richting(en): Management, Actuariaat / Risk, Banking / Finance |
Niveau: WO
Locatie: Amsterdam
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Model Validation is looking for an enthusiastic, curious Junior Model Validator who likes to develop him/herself in the IRRBB validation chapter


ING’s global Model Validation IRRBB (“Interest Rate Risk in the Banking Book”) chapter is an energetic, diverse and collaborative international team consisting of about 15 highly qualified professionals of various quantitative backgrounds, located in Amsterdam.


Following ING’s Think Forward Strategy to become the next generation digital bank, data and models are considered key assets in our bank. As model validators we safeguard the quality of ING’s models, which are used for all kinds of decision making purposes. We also contribute to the Model Risk Management (r)evolution that is picking up worldwide, given that models are imperfect representations of reality and hence may lead to financial losses and/or reputational damage. To effectively achieve these challenges, our Model Validation teams have been substantially growing in 
size lately and will further grow, also internationally. 


We are responsible for validating IRRBB & ALM (“Asset & Liability Management”) models used by ING in about 40 countries all over the globe. We cover an interesting, wide and evolving model scope aimed to measure the impact of IRRBB on expected earnings and economic value as well as various ALM models used in balance sheet management. These models vary from those having a technically advanced quantitative orientation to those displaying strong expert judgment (in case of e.g. limited data availability). Our core business consists of independently assessing whether a particular model is fit for the purpose it was designed for, based on the business context, academic theories, empirical evidence, regulations, best practices & technological innovations. Effective challenge is key in our role. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING and global financial stability. 

The role of model validator

As a model validator you focus on and further learn about the topics related to the models in your scope, using econometrics, quantitative finance, coding, business knowledge and related regulations. You perform in-depth analyses and write code to perform quantitative assessments. 
You summarize your analyses and conclusions in clear, fact-based and persuasively written reports, which are presented to the relevant Model Approval Committee. You share your knowledge and effectively communicate with team members and a wide range of internal and external 
stakeholders. You also have the opportunity to participate in the development of innovative, state-of the-art validation frameworks and coding libraries. 

Your main daily activities consist of the following:

  • Assessing the fundamental assumptions underlying the models in scope, whether the models are correctly implemented in the systems, and their appropriateness given the business and (evolving) regulatory context.
  • Writing high quality validation reports, to be discussed with e.g. model developers, senior management, auditors, the ECB and other regulators. These reports include a description of the methodology, your model risk assessment of the various model validation dimensions, as well as a number of findings for model improvement (which require follow-up by the developers)
  • Preparing ad-hoc analyses for e.g. senior management and providing advice on model risk.
  • Participating in the development of our new validation coding libraries.
  • Participating in the expansion and promotion of our new validation frameworks. These include policies, validation minimum standards and working instructions that aim to professionalize the model risk assessment based on the key model validation dimensions.

Your prospective model scope is broad and are related to the following main areas:

  • Behavioral: Modelling of mortgage & other loan prepayments and non-maturity deposits, as well as other embedded options in retail and wholesale products.
  • Interest rate: Market models (e.g. Hull-White model).
  • Valuation: Models used for calculating the economic value of a loan or deposit portfolio with embedded options.
  • Pricing: Models used for product pricing.
  • Replication: Models used for risk transfer.
  • Risk measurement: Models used for risk management and reporting (NPVaR, RRaR, NIIaR).

 

As part of the IRRBB chapter, you will contribute to further building and developing the team by sharing knowledge, coaching more junior staff and by embracing ING’s Agile way of working. 

 

Who are we looking for

We are looking for enthusiastic colleagues who enjoy performing quantitative analyses, writing & defending high quality validation reports, and have an intrinsic curiosity to continuously expand their knowledge. In particular, as a member of our team, you have:

  • A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics etc.
  • Two years of relevant experience.
  • Depending on seniority level, a curiosity about/are proficient in IRRBB/ALM modelling.
  • Solid programming experience (preferably in Python and/or R).
  • Strong verbal communication skills. You enjoy sharing and presenting your work to colleagues, senior management, auditors, the ECB and other regulators, and are able to defend your stand point in plain language.
  • Good English writing skills, you are accurate and skilled at drafting reports.

 

Above all, you have a genuine passion to continuously improve yourself and our team. As a model validator at ING, you will be empowered to have a true impact on ING’s future model landscape. Moreover, you will contribute to further implementing ING’s innovative Think Forward strategy.

 

Your work environment

  • The IRRBB Model Validation chapter is part of ING’s global Model Risk Management domain, which consists of multiple Model Validation teams (i.e. “chapters”, each focusing on a main risk area(s)) and Model Risk Oversight, located both in Amsterdam and Poland. 
  • The domain has adopted and will further progress with the ING One Way of Working. In our organisational set-up, we distinguish tribes, chapters and squads. 
  • Our main stakeholders are within ING’s head office and local risk management departments worldwide, senior management (including the CRO, his management team, the Executive Board and local CROs), internal and external auditors, the ECB and other regulators. To ensure its independence and effective challenge, Model Risk Management reports directly to the CRO.
  • Our work environment can be described as dynamic and professional, with changing requirements and needs. We work in a spirit of trust, a sense of purpose, curiosity, cooperation and open communications. Continuous learning, adding value to our stakeholders and building on differences are important. We empower our people to take responsibility and promote continuous improvements, innovation and automation.

 

What we offer

At ING we offer you a 40 (or 36) hour contract. We care about an adequate work–life balance and we empower our colleagues to realize their ambitions: “Do your thing.” Our employment conditions are specified here. In particular, we offer:

  • A flexible work environment, with the possibility of working from home.
  • Time and support for personal development, including courses.
  • A challenging, interesting and evolving job/career.
  • An informal and positive working environment with highly qualified colleagues, who like to improve, value diversity and support each other.
  • An innovative, expanding working environment, also internationally, creating ample opportunities for further development.
  • A progressive way of working according to the Agile method, so that new ideas come to life incrementally.
  • A competitive salary tailored to your skills, competences, experience and performance.
  • A choice in transportation allowances.
  • 27 vacation days with a 40-hour contract (or 24 based on 36h), as well 1.5 days of “diversity days”.
  • A good pension scheme.
  • A 13th-month salary.
  • Individual Savings Contribution (BIS) (i.e., 3.5% of your gross annual salary.
  • 8% Holiday payment.

 

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