Senior Credit Risk Modeler

Senior Credit Risk Modeler

Your role & work environment

As a Senior Credit Risk modeler you develop, monitor, and maintain credit risk models to ensure they reflect the adequate assessment of ING Luxembourg's risk profile. This role is intended to encompass in a medium-term horizon a broader scope than pure credit risk models, as you will hold a role of expert on topics all linked with modelling and quantitative analysing. You will act on the whole lifecycle of the models: starting from data wrangling with support of data management and other modelers across the ING Group, up to draft reports and presentations of your own work to the top management and committees in ING Group's integrated risk functional line. You will hence contribute to improve the setting of the Risk Appetite Statement of the Bank, as well as promoting a stronger model driven culture in all our assessments and processes.

You will interact with many stakeholders mainly at ING Luxembourg and at head-office in the many projects you will work on or having the responsibility.

You are member of Regulatory, Models and Capital Integration team that belongs to the Risk division. The team is composed of six members including the manager and divided into two poles:

a) 4 modelers on modelling activities.

b) 3 ERM officers on regulatory and capital integration activities.

You will belong to the modelling pole which is led to interact and increasingly collaborate with the regulatory and capital integration pole to enhance synergies within the team, and more widely within the Risk department.

Your key responsibilities

The candidate will mainly act on the responsibilities described below:

• Maintain and develop AIRB models in coordination with Model Development at ING head-office level to ensure the compliancy with ING Group's methodological standards.
• Monitor our own AIRB models, including report writing and presentation to the Model Development committee
• Control and assess the Group IRB models applied on our portfolio to ensure their adequacy with our risk assessment.
• Maintain and monitor the current IFRS-9 model in coordination with Credit Risk Management team and Finance department and forecast the loan loss provision driven by a set or relevant scenarios.
• Answer demands from auditors and regulators linked to Credit Risk Modelling which can include questions also related to Group models.
• Develop and perform stress testing and pillar 2 models driven by global or specific scenarios in the framework of IC/LAAP, or more generally respond to ad hoc solvency impact requests for both internal and regulatory purposes.
• Understand the Economic Capital model developed by head-office and expand its using within ING Luxembourg to improve the economic perspective of our balance sheet in our risk assessment.
• On ESG risk
  • Desing methodologies supporting the analytics developed by head-office to assess our physical and transition risk.
  • Improve the current pillar 1 and 2 models by including ESG risk drivers.
  • Rely on these models to perform stress-testing linked to climate or transition scenarios.
• Perform and analyse impacts' simulation from Basel 4 framework in collaboration with local and central teams and prepare synthesis documents of the outcomes.
• Be an active contributor to enhance our data quality standards to improve and develop other risk models with support from Data Management teams.

Additionally, the candidate shall:

• Provide modelling and quantitative expertise to the other teams from Risk department, Finance department, or directly to the Business to:
  • Enhance the risk culture, which is one of our key objectives at ING.
  • Strengthen the forward-looking perspective of our credit risk metrics including Ifrs-9 provision, RWA, EL and Economic Capital.
  • Execute sensitivity analysis on individual risk drivers.
• Be a local and referent models' expert ensuring locally the model risk management governance set by head-office, and support model owners to comply with this framework.
• Ensure compliance of the models with upcoming regulation in collaboration with other risk teams and prepare locally the action plan to implement these development or calibrations with respect to internal or regulatory guidelines.
• Work on ad hoc demands related to models and assessments requiring quantitative background. For this purpose, you will also:
• Acquire a very good knowledge of the Bank's portfolio, the related reporting infrastructure of ING Group (Vortex) and the management tools.
• Maintain a wide variety of contacts with internal teams at ING Luxembourg (other Risk teams, Finance, Group Treasury, various delivery tribes, etc...), our parent company ING Belgium, head[1]office in Amsterdam, and external stakeholders (auditors, CSSF, etc...).

We look for

A colleague with a talent for taking it on and making it happen, enthusiasm for helping others to be successful and a knack for always being a step ahead. In other words, you strive to bring fresh ideas to life and embrace challenges in a fast changing and complex environment. You are a naturally collaborative person who listens and invests in others to achieve common goals. You love to challenge the status quo and are eager to propose creative solutions to problems.

As a senior credit risk modeler, we require:

• Master's degree (Economics, Finance, other). - Relevant experience (+5 years) in IRB modelling, preferably on retail portfolios.
• Experience related to regulatory guidelines (ECB, EBA, CRR, and CSSF).
• A fluent level in English (written and oral communication, a lot of exchanges are only in English).
• Programming in SAS (mandatory for regulatory models at ING).
• A strong ability to wrangle data, and acquire quickly the knowledge of the data warehouse architecture.
• Strong analytical skills.
• Autonomy and teamwork.
• Willingness to learn.

On top of these requirements, if you have already worked on these following topics, it would be an asset:

• Ifrs-9 and pillar 2 modelling (Economic Capital, stress-testing, concentration risk, business risk). - Model risk management.
• Machine learning algorithms (random forest, SVM, gradient-boosting, etc...).
• Programming in Python and SQL.
• Data visualisation charts (RShiny , Pyshiny, Bokeh, etc...).

We offer you A clear purpose, a unique offer and a range of flexible compensation and other benefits:

• Personal growth & challenging work with endless opportunities to realise your ambitions.
• An informal, dynamic environment with innovative colleagues supporting your endeavours.
• A progressive and agile way of working, where new ideas are valued ahead of convention.
• A flexible work-life balance, including homeworking until 10 days a month.

Furthermore, within this team you can count on a range of opportunities to invest in your personal and professional growth with:

• A fascinating job in the core of banking risk management challenges.
• Integration of several areas of expertise.
• Contacts with various internal and external stakeholders.
• Exposure to senior leadership of ING.

We redefine banking.

What about you? There has never been a more interesting time to work at ING. We're on a journey that's centred around our customers, powered by technology, and driven by smart, determined people. Our customers feel our people are empowering them to stay a step ahead in life and in business. We're proud of that