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An academic degree (MSc or PhD) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field ·
Sound knowledge of statistical modelling and econometric methods ·
Experience with statistical programming (e.g. Python, R) ·
At least 5 years’ experience withDevelopment and / or validation of behavioural models such as prepayment modelsReplication (hedging) modelsRisk measurement and Economic CapitalKnowledge of financial regulation (Basel, EBA)
Development and / or validation of behavioural models such as prepayment models
Replication (hedging) models
Risk measurement and Economic CapitalKnowledge of financial regulation (Basel, EBA)
Knowledge of financial regulations (Basel, EBA)
Experience with databases, data modelling, data preparation and data quality control is considered a plus
Knowledge of stochastic interest rate model
Professional certification FRM / PRM / CFA or CQF
Knowledge of Risk Pro or QRM system
Knowledge of and experience with advanced statistical techniques such as Monte Carlo, neural networks, boosted decision trees, etc.
At ING we follow the Agile approach, using flexible frameworks like Scrum for our daily work. We are innovative and we trust people we work with.
The Financial Risk Model Development department is an international team of 80 highly qualified professionals. Our expertise lies in the development and management of credit risk, ALM and operational risk models.
To further strengthen and develop the modelling capabilities, ING decided to setup Risk Hub in Warsaw.
The Risk Hub model development team will be performing model development activities for models throughout ING, working closely together on international projects with the teams in Amsterdam.
The developed ALM models are core to the success of ING and include behavioural models (e.g. prepayment models) and replication (hedging) models.
The models are used by all local Risk Management units within ING. As an expert in ALM modelling, you will be given the opportunity to broaden your experience in ALM modelling topics, using state-
of-the-art modelling methods, tooling and data processing technologies. You will also have a chance to influence the direction in which the Risk Hub is developing.
You will play a leading role in the development of ALM models at ING, as an integral part of the group-wide financial risk modelling team.
The models that you develop will cover all products and geographical regions in the ING Bank portfolio. ING’s lending activities reach all across the globe, from Europe to Australia.
Developing, improving, analysing and documenting ALM models : 20%
Monitoring of models, backtesting and benchmarking : 20%
Improving model development methodology : 20%
Advising management about modelling topics : 20%
Strong analytical and problem-solving capabilities
Communication and presentation skills, advanced level of English (C1 or above)
Independent, creative and pro-active mind-set
Keen on innovation
access to the newest technologies
free English lessons
Your health, physical condition and family
Private medical care
MultiSport card with 50% funding
Chillout and entertainment zones
suitable working conditions
Stable employment conditions