Market Risk Quant - Model Validation - Specialist(ALM)

We are looking for you, if you have:

• at least 1 year of experience in Market Risk or Liquidity Risk. Ideally, but not mandatory, your experience should be in quantitative model validation or model development,
• good knowledge of financial engineering, statistics, mathematics, econometrics, and/or probability,
• quantitative background, (MSc or PhD degree) in e.g. Econometrics, Quantitative Methods, Quantitative Finance, Mathematics, Statistics, or Physics,
• the ability to clearly, succinctly, and confidently express complex ideas, facts, and opinions. You can communicate them fluently, logically, and in the English language, both in speaking and writing, supported by appropriate tools (plots, tables, data, etc.),
• the ability to identify hidden problems, analyze key information, and form intelligent connections in order to find appropriate solutions,
• a genuine passion for continuously improving.

You'll get extra points for:

• a research mindset,
• knowledge of Python/SQL/QRM,
• completed or in-progress certificates: FRM, PRM, CQF, BTRM or CFA.

Your responsibilities:

• Model analysis,
• Writing validation reports,
• Development of tools for automation of validation process.

Information about the squad:

We are responsible for validating IRRBB & ALM models used by ING in about 40 countries all over the globe. We cover an interesting, wide, and evolving set of models ranging from highly technical/quantitative to qualitative/expert-opinion based. We specialize in market risk models in the banking book such as behavioral, interest rates, valuation, replication/hedging, and risk measurement. Our core mandate is to address whether a particular model is fit for its designated purpose, based on mathematical assumptions, appropriate business contexts, academic theories, and empirical evidence, and is properly adherent to regulations, best practices, and the latest technological innovations.

The ALM Model Validation Tribe has 50 experts and specialists split into 3 chapters in Amsterdam and 1 chapter in Warsaw. The Warsaw chapter has 15 validators, which constitute an independent team but work very closely with the whole Tribe.