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.
60%- Administration of the platform
20%- Implementation of ING security polices in data analytics applications
20%-Research&development of data analytics methods, tools and applications