Quantitative risk analyst

The quantitative risk analyst participates in the validation of risk models of ING Group within the market risk area. This means he or she is able to; Technical review the Risk Models of ING Group within the specific risk area covering market risk (trading, ALM) and/or operational risk, business risk or risk aggregation for both ING Bank and ING Insurance. - Deliver high quality standards of validation reports. These reports encompass both a quantitative and a qualitative a

Deliver high quality standards of validation reports. These reports encompass both a quantitative and a qualitative assessment of a model, containing a mix of conceptual soundness & developmental evidence, outcome and performance analysis.

The validations are executed at different stages of the Model lifecycle: i.e. when the model is initially developed, when any significant changes are made and on a regular basis.

The risk ING Bank model validation section covers the internally developed market risk models such as VaR models with regard to trading risk and ALM models with regard to the interest rate risk of the Banking Book as well as the economic capital models of ING Bank.

Organisational Context

The Model Validation department was established in the beginning of 2006. Model Validation independently reviews the performance of risk models applied within ING Bank and ING Insurance. The risk models are used, amongst other, for risk management/risk measurement and to determine regulatory capital and economic capital in various risk areas covering market risk, credit risk, insurance risk and operational risk. In order to ensure its independency, Model Validation reports directly to the CRO. It is a young, international and dynamic team with short communication lines throughout the organization.

Personal Profile

Our requirements with respect to the qualifications:

-          A Master’s degree in econometrics, quantitative economics or a related field;

-          1-5 years relevant work experience;

-          Is able to operate as an effective and efficient professional;

-          Takes responsibility for own work, takes initiatives, works according to the planning;

-          Is a first class expert in the area of ALM/ Trading risk;

-          Is able to maintain and develop expertise on the Market Risk area.

-          Excellent writing skills in English;

-          Communication skills.

In addition, the following competencies are requested:

-          Problem analysis and judgement;

-          Planning & organizing;

-          Persuasiveness;

-          Empathy with the company.

Salary & Benefits

The position is graded between a level 9-12 depending on relevant skills and experience. The position is a fulltime function

The location is Amsterdam, Amsterdamse Poort

How to Apply

You can apply online by attaching this vacancy to your job basket. Uploading of your profile, resume and motivation letter to submit your application through this site is very much appreciated.

For further details on this vacancy, you are welcome to contact Monique Hemerijck, Head Model Validation, tel. +31 20 57 68008  for information about how to apply please contact Saskia van den Heuvel +31 20 65 22375, Senior HR Consultant.