Quantitative Model Risk Consultant

6 dagen geleden

Amsterdam, Noord-Holland, Nederland ING Voltijd

We are seeking a Quantitative Model Risk Consultant to strengthen our Predictive Analytics team within the Integrated Risk Department (IR).

The IR team consists of enthusiastic colleagues who collaborate to combine and share knowledge, leading to:

  • An economically justified credit risk policy (risk appetite).
  • Effective strategic decision making via well-maintained credit risk models.
  • A risk policy centralizing the customers' interest.
  • Meeting the internal and external guidelines.
  • A thriving work environment.

Predictive Analytics is responsible for the development and management of regulatory and non-regulatory Credit Risk models with state-of-the-art modelling methods, tooling, and data processing technologies. These models are core to the success of ING and are applied for different purposes, amongst others to determine capital adequacy, loan loss provisions, but also credit decisions and in-life & problem management of loans.

We are looking for someone with a strong analytical background, experienced with IRB rating system development/methodologies as well as Credit Decision Models (scorecards, EWS) and Model Life Cycle.

Key responsibilities include:

  • Developing and maintaining models for measuring and managing credit risk for Dutch Portfolio.
  • Model development of regulatory models for IRB-modelling.
  • Forecasting and describing developments in provisions, risk costs, RWA and arrears.
  • Model development for credit decision models, in-life management models (EWS, etc.)
  • Delivery of bank-wide ESG strategy and supporting managing and analysing ESG risk.
  • Supporting ING Bank Netherlands new products, processes via measuring credit risk adequately and support decision making.
  • Collaborating with Risk managers within the department to develop and validate an adequate credit risk policy.
  • Collaborating with the front office, as well as the ING Group Risk and Finance departments, to align the various interests and to exchange knowledge.
  • Collaborating with IT system owners, to ensure adequate data/platform management.
  • Working according to ING's one Way of Working (agile WoW).

Requirements include:

  • More than 5 years of experience in Credit Risk Modelling, including relevant experience in IRB modelling and/or Credit Decision modelling.
  • Deep knowledge of quantitative methods and techniques, experience with Data Science and Machine Learning combined with business knowledge of Credit Risks.
  • MSc degree or PhD in mathematics, physics, econometrics.
  • Experience with development of (credit) (risk) models.
  • Excellent knowledge of statistics and/or mathematics.
  • Excellent knowledge of programming, preferably in SAS Base, SAS Macro Language, SQL, VBA and Python.
  • Experience with risk modelling and business tooling, specifically SAS EG, MS Access, MS Excel, SharePoint.
  • Experience with (central) data gathering and processing.
  • Knowledge of banking and financial industry, financial and lending products, and processes.
  • Experience in being a sparring partner/advisor to senior management.
  • You have strong analytical and problem-solving execution skills.
  • Excellent communication skills writing and reporting in English & Dutch.

We offer a stimulating work environment with excellent opportunities for personal growth and career development. If you are interested in this challenging opportunity, please apply with your resume and a cover letter.

The benefits of working with us at ING include:

  • Hybrid working mode (flexible working from home and office).
  • A salary tailored to your qualities and experience.
  • 24-27 vacation days depending on the contract.
  • 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.
  • An informal working environment with innovative colleagues.
  • Work Agile, so new ideas come to life faster.

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