Quantitative Model Risk Expert

9 uur geleden

Amsterdam, Noord-Holland, Nederland ING Voltijd
Job Description

We are seeking a highly skilled Quantitative Model Risk Specialist to join our Predictive Analytics team within the Integrated Risk Department (IR).

The IR team is composed of enthusiastic colleagues who collaborate and share knowledge to achieve:

  • An economically justified credit risk policy.
  • Effective strategic decision making through well-maintained credit risk models.
  • A risk policy centered around customers' interests.
  • Compliance with internal and external guidelines.
  • A thriving work environment.

Predictive Analytics is responsible for developing and managing regulatory and non-regulatory Credit Risk models using state-of-the-art methods, tooling, and data processing technologies. These models are crucial to ING's success and are applied for various purposes, including determining capital adequacy, loan loss provisions, credit decisions, and in-life problem management of loans.

This role offers excellent opportunities to develop model development, data management, and organizational skills within an Agile setup.

Responsibilities

Your core task will be to contribute analytically to maintaining a healthy lending portfolio in the near and far future. Your key responsibilities will 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 the management and analysis of ESG risk.
  • Supporting ING Bank Netherlands in new product and process development via credit risk measurement and adequate decision-making support.
  • Collaborating with Risk managers to develop and validate an adequate credit risk policy.
  • Collaborating with the front office, ING Group Risk, and Finance departments to align interests and exchange knowledge.
  • Collaborating with IT system owners to ensure adequate data and platform management.
  • Working according to ING's one Way of Working (agile WoW).
Requirements

To succeed in this role, you will need:

  • 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, combined with business knowledge of Credit Risks.
  • MSc degree or Ph D in mathematics, physics, econometrics, or a related field.
  • 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 modeling and business tooling, specifically SAS EG, MS Access, MS Excel, Share Point.
  • Experience with central data gathering and processing.
  • Knowledge of banking and financial industry, financial and lending products, and processes.
  • Experience as a sparring partner/advisor to senior management.
  • Strong analytical and problem-solving execution skills.
  • Excellent communication skills in English and Dutch.
Benefits

We offer a competitive salary of €80,000 - €110,000 per year, depending on your experience and qualifications. Other benefits include:

  • Hybrid working mode (flexible working from home and office).
  • A 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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