Quantitative Risk Analyst recruitment
Organisatie
For our client, ING Bank, we are looking for a Quantitative Risk Analyst.
ING Model Validation Bank (MVB) is looking for an experienced risk professional (Quantitative Risk Analyst) to strengthen the Credit Risk team. MVB is part of ING Bank/Corporate Risk and consists of 18 team members in total. The team is responsible for validating the risk models used by ING Bank worldwide (approx. 140 models). These models are used for measuring and managing credit risk at ING Bank. In particular, the models in scope are used for calculations of the Loan Loss Provisions (LLP) as well as the Economic and the Regulatory (Basel II) Credit Capital. The main stakeholders are the Corporate Market, Operational Credit Risk Departments, the Risk Integration Analytics department, CRO staff, the Dutch Central Bank (DNB) and other local regulators and Corporate Audit. To ensure its independence, MV reports directly to the CRO.
Key objectives are:
- To assure that models are reliable, appropriate for intended use and compliant with in- external regulations.
- Increasing the understanding of a model's limitations and weaknesses.
- Contributing to ongoing model improvement.
Job Description
You will be responsible for:
- Technical review of risk models, including performing own quantitative analyses.
- Delivering high quality validation reports (read by e.g. senior management, CRO staff, DNB and other local regulators).
- Preparing (parts of) reports for the Executive Board, CRO staff etc.
- Participating in/representing MVB in relevant meetings.
Your model scope is:
- Credit Risk models, i.e. Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models.
- Credit Economic Capital model (INCAP).
- Stress Testing framework.
- Country Risk models.
Job Requirements
- Have a MSc or a PhD degree in Econometrics, Statistics, Economics, Mathematics, Physics or a related field.
- Like to perform quantitative analyses with e.g. SAS, Excel/VBA, Matlab, etc.
- Are familiar with credit risk models (PD/LGD/EAD).
- Experienced with model building and/or model validation in a financial institution.
- Working experience with SAS and Excel (experience with other programming environments is a plus).
- Excellent communication skills (both verbal and writing) in English.
Contact Information
Are you interested in this position? Apply on-line by clicking this link, with reference to job code MJAR159987-EFC. Your application will be forwarded to Rogier Jansen.