Market Risk Model Validation Expert (ALM / IRRBB) [rekrutacja online]

Join the best ALM / IRRBB validation team in Poland, where you will have a possibility to explore and challenge top-notch models and work with world-class experts in the field. We specialize in modelling the interest rate risk in the banking book such as behavioral, interest rates, valuation, replication/hedging and risk measurement models.

• You have at least 5-8 years of experience in model development or model validation in the area of Market Risk, Asset and Liability Management (ALM), Interest Rate Risk in the Banking Book (IRRBB).
• You have practical knowledge as well as understanding of regulations associated with managing the interest rate risk and model validation.
• You have a quantitative background, (MSc or PhD degree) in e.g. Econometrics, Quantitative Methods, Quantitative Finance, Mathematics, Statistics or Physics.
• You communicate in English fluently, both verbally and in writing.
• You know programming languages: Python, Matlab, R.
• You have high quality standards, you are organised & persuasive.
• You have a genuine passion for continuously improving yourself and your team.

• Experience in Agile.
• Experience in knowledge sharing with younger team members.
• Experience with adequate, effective stakeholder management, as well as auditors, regulators and onsite inspections.
• Certificates: FRM, PRM, CQF or BTRM.

• Performing high quality validations and summarizing your conclusions in well-written validation reports that bring value to our stakeholders. You align with e.g. model developers, senior management, auditors, ECB.
• Taking responsibility for the quality of end-deliverables of other chapter members of the projects you supervise (e.g. validations, policy work).
• Keeping abreast with the latest IRRBB/ALM developments and visiting/presenting at conferences.
• (Pro-actively) sharing your knowledge with other team members.
• Joining the Tribe & Chapter Leads to model approval committees, audits & onsite ECB inspections, where you present validation reports.
• Setting & improving on our validation standards/frameworks/coding libraries etc.
• As a recognized expert in your field of expertise, you advise on a strategic level. Building bridges with the business, aiming to further understand the model (context), use and therewith enhance our added value (while maintaining MV’s independence).

• A position where you will be empowered to have a true impact on ING’s future model landscape and contribute to further implementing our innovative Think Forward strategy.
• An exposure to world-class models in the area of IRRBB/ALM.
• A competitive salary tailored to your skills, competences, experience and performance.
• A flexible work environment, with the possibility of working from home.
• Time and support for personal development, including courses.
• An innovative, expanding working environment, also internationally, creating ample opportunities for further development.
• A progressive way of working according to the Agile method, so that new ideas come to life incrementally.

• The IRRBB Model Validation chapter is currently expanding to its target size of 10 members.
• The chapter is located in Warsaw and will work closely with the headquarter in Amsterdam.
• The chapter is part of ING’s global Model Risk Management domain (MoRM), which consists of multiple Model Validation teams (i.e. “chapters”, each focusing on a main risk area(s)) and Model Risk Oversight, located both in Amsterdam and Warsaw.
• ING is a global and highly innovative market player and IRRBB Model Validation is a Global function across two location responsible for validating Global models.

• Very good skills in team working,
• Responsibility, keeping commitments,
• Commitment and openness to change,
• Willingness to occasional traveling.