Model Validator IRRBB & ICLAAP

ING Bank Personeel BV; Amsterdam; Hybride; EUR 90 000 - 135 000; Plein temps

Avantages offerts par ce poste

Hybrid working

Pension scheme

13th month salary

8% Holiday payment

Learning opportunities

Informal environment

Résumé du poste

ING in Amsterdam is seeking an energetic Model Validator to support the IRRBB & ICLAAP chapter within Model Validation Financial Risk. You will conduct timely model validations aligned with external regulations and present findings to committees and stakeholders.

You bring an MSc/PhD in quantitative fields, strong Python and R skills, and the ability to challenge 1st MLoD while collaborating across chapters and with regulators. The role offers hybrid working and opportunities for growth.

Qualifications

• A MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics etc. combined with significantly relevant professional experience in a comparable role
• Adequate technical and regulatory expertise in quantitative modelling and risk management.
• Solid programming experience (preferably in Python and/or R).
• Attention to detail and commitment to delivering high-quality work.
• Excellent verbal and written communication skills, with the ability to explain complex quantitative and regulatory topics clearly and convincingly to a broad range of stakeholders, including senior management, auditors and regulators.
• Ability to challenge 1st MLoD on their Model Risk and to manage multiple priorities in a fast-changing environment.
• Continuous improvement mindset and openness to innovation.

Responsabilités

• Conduct timely, high-quality model validations in line with external regulations, internal policies, and model validation frameworks.
• Challenge 1st MLoD on their level of model risk
• Prepare validation reports and present findings to committees and stakeholders, ensuring transparency and clarity.
• Participate in thematic reviews and provide expert advice to internal stakeholders on model risk issues.
• Support the development and implementation of innovative validation frameworks and contribute to automation initiatives.
• Collaborate with colleagues across chapters and locations to ensure consistency and share best practices.
• Maintain constructive relationships with internal teams (Model Development, Risk Management, Audit) and assist with external stakeholder management (regulators, auditors).
• Contribute to continuous improvement by suggesting enhancements to validation processes and frameworks.

Connaissances

Python

R

Quantitative analysis

Regulatory knowledge

Formation

MSc or PhD in quantitative field

Outils

MATLAB

SQL

Description du poste

We are looking for an energetic, naturally collaborative, and hands‑on Model Validator to support the Chapter Lead IRRBB & ICLAAP within Model Validation Financial Risk. The team ING’s global Model Validation IRRBB & ICLAAP chapter is an energetic, diverse and collaborative international team consisting of about 15 highly qualified professionals of various quantitative backgrounds, located in Amsterdam. As model validators we safeguard the quality of ING’s models, which are used for all kinds of decision‑making purposes. We are responsible for validating IRRBB & ICLAAP 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 interest rate risk 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. Specific Function Model Risk Management (MoRM) in a nutshell; Models are an imperfect reflection of reality. Models impact our business and we use models for decision making throughout ING. We need to manage uncertainties and shortcomings in our models, as there are risks involved. Are we sure that the output leads to the right decision? Models are a great asset but come with a risk that needs to be managed. The purpose of the Model Risk Management department is to ensure the models can add business value safely. That's why we've created a cross-domain Model Risk Management Framework helping us identifying, classifying, recording and validating models we use across ING. For example, Credit, Market, KYC, Operational and Pricing models. Together with our stakeholders in e.g. Model Development and COO Risk we try to obtain the best models for ING.

Roles and responsibilities

• Conduct timely, high-quality model validations in line with external regulations, internal policies, and model validation frameworks.
• Challenge 1st MLoD on their level of model risk
• Prepare validation reports and present findings to committees and stakeholders, ensuring transparency and clarity.
• Participate in thematic reviews and provide expert advice to internal stakeholders on model risk issues.
• Support the development and implementation of innovative validation frameworks and contribute to automation initiatives.
• Collaborate with colleagues across chapters and locations to ensure consistency and share best practices.
• Maintain constructive relationships with internal teams (Model Development, Risk Management, Audit) and assist with external stakeholder management (regulators, auditors).
• Contribute to continuous improvement by suggesting enhancements to validation processes and frameworks.

How to succeed

• A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics etc. combined with significantly relevant professional experience in a comparable role
• Adequate technical and regulatory expertise in quantitative modelling and risk management.
• Solid programming experience (preferably in Python and/or R).
• Attention to detail and commitment to delivering high-quality work.
• Excellent verbal and written communication skills, with the ability to explain complex quantitative and regulatory topics clearly and convincingly to a broad range of stakeholders, including senior management, auditors and regulators.
• Ability to challenge 1st MLoD on their Model Risk and to manage multiple priorities in a fast-changing environment.
• Continuous improvement mindset and openness to innovation.

Specific Knowledge and Experience

• 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).

Rewards and benefits

We want to make sure that it’s possible for you to strike the right balance between your career and your private life. Find out more about our employment conditions. The benefits of working with us at ING include:

• 25-28 vacation days depending on contract
• Pension scheme
• 13th month salary
• 8% Holiday payment
• Hybrid working
• Personal growth and challenging work with endless possibilities
• An informal working environment with innovative colleagues

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