Credit Risk Modeler
il y a 4 semaines
Credit Risk Modeler
The Regulatory, Models and Capital integration Team is an energetic international team of highly qualified professionals within the Risk department. This team is responsible for developing credit risk models used within ING Luxembourg, and more widely provide expertise on regulatory and modelling topics for capital requirement measurement.
Your role & work environment
ING uses quantitative models for many purposes and form an integral part of our strategy. You will be developing models used for calculations of the Loan Loss Provisions (IFRS9) as well as the Regulatory (Basel II) Credit Capital.
You will be member of Regulatory, Models and Capital Integration team whose responsibility is within the Risk division. The team is composed of six members including the manager and divided into two squads: one with 3 modelers and another one with 2 financial risk experts.
Within our team, you will:
- Maintain credit risk models (PD, EAD, LGD), realize regulatory exercises to monitor these models, lead a key role to answer demands from supervisor entities (ECB or CSSF), and develop them in compliance with the ING group methodological standards
- Create high quality reports that are read by e.g. senior management, CRO staff, model validation, audit and ECB;
- Participate in meetings with model validation, senior management, internal & external audit and the European Central Bank.
Who are we looking for?
- An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field;
- Experience in IRB or IFRS9 model development, retail or wholesale portfolio
- Programming experience in SAS and SQL, knowledge of R or Python is a plus;
Additionally, you should have
- An independent, creative and pro-active way of working;
- Critical but positive constructive and team-player mind-set;
- Persuasiveness and the ability to interact with stakeholders and build positive relationships;
- Excellent communication skills and ability to write clear reports in English.
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 realize your ambitions
- An informal, dynamic environment with innovative colleagues supporting your endeavors
- A progressive and agile way of working, where new ideas are valued ahead of convention
- Challenging projects, at the forefront of the new regulations
- A dynamic and flexible work environment
- Training opportunities
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