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 experienced professionals to join this new team that has significant growth ambitions.
Type of employment: contract of employment
- validating risk models, including performing quantitative analyses,
- creating high quality validation reports that are read by e.g. senior management, CRO staff, audit and external regulators,
- participating in meetings with model developers, senior management, internal & external audit and external regulators (the Risk Hub Warsaw team works closely together with the Model Validation team for Credit Risk in Amsterdam).
- 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;
- stress Testing framework.
In addition, the team has the ambition to expend the scope to credit decision models such as underwriting models, loan pricing and early-warning systems
- MSc in the field of Econometrics, Economics, Statistics, or Mathematics or another quantitative/numerical field,
- a minimum of 2 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 experience in SAS or another similar programming language;
- knowledge of credit decision models is a pre,
- an independent, creative and pro-active way of working, a team player,
- critical but positive constructive mind-set,
- persuasiveness and the ability to interact with stakeholders and build positive relationships,
- excellent communication skills and ability to write clear reports in English.
- Stable employment conditions
- Trainig
and development programs - Access to new technologies
- The premium depends on the results
- Private medical care
- Employee retirement program
- Sports package
- The cafeteria system of benefits
