Finance and Economics IT Management & Business Others Other Science and Tech
1 - 2 Years
Senior/Principal Model Validation Lead - IRRBB & ALM models
Model Validation is looking for an enthusiastic Senior/Principal Validation Lead, who enjoys being an expert leader in the IRRBB validation chapter
ING’s global Model Validation IRRBB (“Interest Rate Risk in the Banking Book”) chapter is an energetic, diverse and collaborative international team consisting of about 15 highly qualified professionals of various quantitative backgrounds, located in Amsterdam.
Following ING’s Think Forward Strategy to become the next generation digital bank, data and models are considered key assets in our bank. As model validators we safeguard the quality of ING’s models, which are used for all kinds of decision making purposes. We also contribute to the Model Risk Management (r)evolution that is picking up worldwide, given that models are imperfect representations of reality and hence may lead to financial losses and/or reputational damage. To effectively achieve these challenges, our Model Validation teams have been substantially growing in size lately and will further grow, also internationally.
We are responsible for validating IRRBB and ALM (“Asset & Liability Management”) models used by ING, in about 40 countries all over the globe. We cover an interesting, wide and evolving model scope aimed to measure the impact of IRRBB on expected earnings and economic value, as well as various ALM models used in balance sheet management. These models vary from those having a technically advanced quantitative orientation to those displaying strong expert judgment (in case of e.g. limited data availability). Our core business consists of independently assessing whether a particular model is fit for the purpose it was designed for, based on the business context, academic theories, empirical evidence, regulations, best practices & technological innovations. Effective challenge is key in our role. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING and global financial stability.
The role of Senior/Principal Validation Lead
As a Senior/Principal Validation Lead you focus on and specialize in the content and are the go-to expert for the topics related to the models in your scope, including econometrics, quantitative finance, coding, business knowledge and related regulations. You are fully aware of internal and external developments and understand the bigger picture and relation to other topics. Besides performing validations, you pro-actively share your knowledge with others, supporting their further development. You also play a key role in the development of innovative, state-of the-art validation frameworks and coding libraries.
Your main daily activities consist of the following:
Performing high quality validations and summarizing your conclusions in well-written and concise validation reports that bring true value to our stakeholders. You lead the alignment process with e.g. model developers, senior management, auditors, the ECB and other regulators.
Taking responsibility for the quality of end-deliverables of other chapter members of the projects you supervise (e.g. validations or policy work).
(Pro-actively) sharing your knowledge via a.o. reviewing validation reports, giving presentations (for people within & outside our chapter) and teaching.
Coaching the validators from a content perspective and having weekly meetings with them for the validations you supervise.
Keeping abreast with the latest developments in the model areas in scope and visiting & presenting at relevant conferences.
Acting as a trusted advisor and sparring partner for senior management.
Joining the Tribe & Chapter Leads to e.g. model approval committees, audits & onsite ECB inspections, where you present your (reviewed) validation reports.
Building bridges with the business/model users, aiming to further understand the model, its context, its use and therewith further enhance our added value and the cooperation with our stakeholders (while maintaining MV’s independence).
Setting & improving on our validation standards, validation frameworks, and coding libraries in cooperation with the Chapter Lead.
Frequently aligning with the Chapter Lead, Product Owner and the Agile Coach.
You are seen and recognized as an expert leader in your field of expertise. You advise on strategic level and are a driving force in defining which trends and innovations are relevant for ING’s model validation/model risk management activities. You’ll work closely with the Chapter Lead and Product Owner. Together you ensure that the work is effectively allocated within the squad. Together with the Chapter Lead and/or Product Owner, you determine a project’s overall duration (which the validators subsequently refine into milestones).
Together with the Chapter Lead and Product Owner, you contribute to the further design of the tribe’s vision & strategy and drive the execution.
Your prospective model scope is broad and are related to the following main areas:
Behavioral: Modelling of mortgage &other loan prepayments and non-maturity deposits, as well as other embedded options in retail and wholesale products.
Valuation: Models used for calculating the economic value of a loan or deposit portfolio with embedded options.
Pricing: Models used for product pricing.
Replication: Models used for risk transfer.
Risk measurement: Models used for risk management and reporting (NPVaR, RRaR, NIIaR).
As part of the IRRBB chapter, you contribute to further building and developing the team by sharing knowledge, coaching more junior colleagues and by embracing ING’s Agile way of working.
Who are we looking for:
We are looking for enthusiastic, communicative colleagues who have an intrinsic curiosity to continuously expand & share their knowledge base and the drive to become a senior expert within the chapter. You are an important reference point whenever (strategic) content expertise is required. By sharing your in-depth expertise you help other colleagues to continuously improve themselves. You are a team player with a pro-active attitude. You are an advocate of the “ING Orange Code”, a naturally collaborative person who listens to and invests in others to achieve common goals. You are transparent, embrace the ING One Way of Working and enjoy coaching/teaching others on content related matters.
To take on the Senior/Principal Validation Lead role, you bring in senior expert knowledge, highly advanced quantitative validation methods and techniques, and the ability to think at a strategic level. You have:
A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics etc.
At least 8 to 10 years of related work experience in modelling and/or validation of models in the risk areas in scope of the chapter, including extensive knowledge on these, the business and the associated regulations.
Ample experience in coaching others from a content perspective. Teaching experience is a pré;
Experience with the agile way of working and have an interest in progressing with this.
Ample experience with adequate and effective stakeholder management, as well as auditors, regulators and onsite inspections.
Experience in being a (pro-active) sparring partner/advisor to Senior Management, in which your presentations are well structured, easy to follow and can be both high level and detailed (on e.g. the contents).
High quality standards, you are organised & persuasive, you like to interact and are a role model in these aspects.
Fluent communication skills in English, both verbally and in writing.
Above all, you have a genuine passion for continuously improving yourself and our team. As a Senior/Principal Validation Lead at ING, you will be empowered to have a true impact on ING’s future model landscape. Moreover, you will have the opportunity to contribute to further implementing ING’s innovative Think Forward strategy.
You are prepared to travel occasionally. Your main base is Amsterdam.
Your work environment
The IRRBB Model Validation chapter is part of ING’s global Model Risk Management domain, 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 Poland.
The domain has adopted and will further progress with the ING One Way of Working. In our organisational set-up, we distinguish tribes, chapters and squads.
Our main stakeholders are within ING’s head office and local risk management departments worldwide, senior management (including the CRO, his management team, the Executive Board and local CROs), internal and external auditors, the ECB and other regulators. To ensure its independence and effective challenge, Model Risk Management reports directly to the CRO.
Our work environment can be described as dynamic and professional, with changing requirements and needs. We work in a spirit of trust, a sense of purpose, curiosity, cooperation and open communications. Continuous learning, adding value to our stakeholders and building on differences are important. We empower our people to take responsibility and promote continuous improvements, innovation and automation.
What we offer
At ING we offer you a 40 (or 36) hour contract. We care about an adequate work–life balance and we empower our colleagues to realize their ambitions: “Do your thing.” Our employment conditions are specified here. In particular, we offer:
A flexible work environment, with the possibility of working from home.
Time and support for personal development, including courses.
A challenging, interesting and evolving job/career.
An informal and positive working environment with highly qualified colleagues, who like to improve, value diversity and support each other.
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.
A competitive salary tailored to your skills, competences, experience and performance.
A choice in transportation allowances.
27 vacation days with a 40-hour contract (or 24 based on 36h), as well 1.5 days of “diversity days”.
A good pension scheme.
A 13th-month salary.
Individual Savings Contribution (BIS) (i.e., 3.5% of your gross annual salary.
8% Holiday payment.
Interested to learn more?
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