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ING is looking for specialists in Economic Capital Credit Risk modelling
Who we are: 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, Market risk and operational risk models. The Economic Capital credit risk models are core to the success of ING and include IRB and IFRS9 models (PD, LGD, EAD) for retail and wholesale portfolios, as well as non-regulatory models. The models are used globally within ING. As a specialist in Economic Capital credit risk modelling, you will be given the opportunity to gain further experience in Economic Capital modelling topics, using state-of-the-art modelling methods, tooling and data processing technologies.
We are looking for new team members who have:
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. R, Python, SAS)
At least 2 year experience with development and/or validation of Economic Capital credit risk modelling
Knowledge of financial regulation (Basel, EBA, IFRS9)
Knowledge of and experience with advanced statistical techniques such as multifactor modelling, Monte Carlo simulation, etc.
Experience with databases, data modelling, data preparation and data quality control is considered a plus
What you will be doing: You will participate in the development and maintenance of Economic Capital credit risk models for the measurement and management of credit risk at ING, as an integral part of the group-wide financial risk modelling team. You will take responsibility for:
Developing, implementing and maintaining all the models and related tools using mostly SAS, R or Python
Monitoring of internal models through annual reviews
Translating external and internal development into model improvements
Performing periodical calibration of the models
Documenting the assessments in line with the required standards (e.g. technical model documentations)
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.
It would also be great if you have:
Strong analytical and problem-solving capabilities
Excellent English communication and presentation skills
Independent, creative and pro-active mind-set
An innovative mindset
Internal Number: 6503039
eFinancialCareers is a career site specializing in financial services.