Quantitative Model Risk Specialist — Credit Risk & AI

ING Nederland; Amsterdam; Hybrid; EUR 90,000 - 120,000; Full time

Benefits offered by this job

Flexible hours

Work from home

Pension scheme

13th month salary

Vacation days

Personal growth

Innovative colleagues

Agile workplace

Job summary

ING Nederland is seeking a Quantitative Model Risk Specialist to strengthen the Predictive Analytics team within the Integrated Risk Department. You will develop and maintain models measuring credit risk for the Dutch portfolio and contribute to IRB/IFRS9 and credit decision modelling.

Working in an Agile environment, you will explore AI/ML approaches, leveraging Python, SAS and SQL, and collaborate with Risk, Finance, Business and IT to advance risk insights and ESG initiatives.

Qualifications

• 1 year+ experience in Credit Risk Modelling including IRB/IFRS9 or credit decision modelling.
• Strong quantitative methods knowledge and data science/machine learning exposure.
• MSc or PhD in mathematics, physics or econometrics or equivalent.

Responsibilities

• Develop and maintain credit risk models for Dutch portfolios.
• Build regulatory models for IRB/IFRS9 purposes.
• Forecast provisions, risk costs, RWA and arrears.
• Develop credit decision models and life-cycle models (EWS).
• Deliver and support ESG risk analyses and strategy.
• Collaborate with Risk, IT and Front Office to align data and policies.
• Apply AI/machine learning to risk modelling where applicable.
• Use Python-based tools to enhance modelling workflows.

Skills

Credit risk modelling

IRB/IFRS9 modelling

Data Science

Machine Learning

Python

SAS

SQL

Statistics

Communication in English

Education

MSc in mathematics/physics/econometrics

Tools

SAS Base

SAS Macro Language

SAS EG

MS Access

MS Excel

SharePoint

SQL

Python (libraries)

Job description

ING Nederland is seeking a Quantitative Model Risk Specialist to strengthen the Predictive Analytics team within the Integrated Risk Department. You will develop and maintain models measuring credit risk for the Dutch portfolio and contribute to IRB/IFRS9 and credit decision modelling.

Working in an Agile environment, you will explore AI/ML approaches, leveraging Python, SAS and SQL, and collaborate with Risk, Finance, Business and IT to advance risk insights and ESG initiatives.