Chapter Lead – Model Validation
4 d. temu

What we do in Risk Hub Warsaw?

Our expertise lies in the development and management of Market Risk, Credit and Trading Risk and Financial Markets models, with state-

of-the-art modelling methods, tooling and data-processing technologies.

To further strengthen and develop the Credit Risk validation capabilities ING decided to set-up a Risk Hub Warsaw . The Risk Hub Warsaw team will be performing model validations for models throughout the ING, working closely together with the teams in Amsterdam.

We are looking for an experienced and energetic colleague who will serve as Chapter Lead Model Validation .

Type of employment : contract of employment

Your tasks :

  • the timely validation of credit risk models and creating high quality validation reports that are read by e.g. senior management, CRO staff, audit and external regulators,
  • participates in meetings with model developers, senior management, internal & external audit and external regulators,
  • work closely together with the Model Validation team in Amsterdam,
  • support or lead improvement initiative within the modelling domain of ING,
  • recruiting and building a specialised team of highly specialised people and develop their skills.
  • Your model scope is broad and includes :

  • regulatory capital models under the Internal Rating Based (IRB) approach, such as Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models,
  • loan Loss Provisioning models (IFRS9),
  • credit Economic Capital model (INCAP) and the concentration Risk Framework; and
  • stress Testing framework.
  • In addition, the Risk Hub Warsaw team has the ambition to expend the scope to credit decision models such as underwriting models, loan pricing and early-warning systems.

    Our expectations :

  • MSc in the field of Econometrics, Economics, Statistics, or Mathematics,
  • demonstrated capabilities in managing a team of specialists,
  • excellent planning and project management skills,
  • an academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative / numerical field,
  • a minimum of 6 years related work experience with credit risk models (PD / LGD / EAD),
  • extensive knowledge and experience with modelling / validation of either A-IRB or IFRS9 and a good understanding of the regulation,
  • programming skills in SAS or another similar programming language,
  • knowledge of credit decision models is a pre,
  • an independent, creative and pro-active way of working,
  • critical but positive constructive mind-set,
  • persuasiveness and the ability to interact with stakeholders and build positive relationships,
  • a team player,
  • excellent communication skills and ability to write clear reports in English.
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