ING is looking for an Expert Lead to develop liability models for IRRBB exposures of ING Group. The liability models are integrated into the overall IRRBB and CSRBB modelling strategy as executed by the ALM team. The ALM Model Development team consists of approximately 35 FTE that are located in Amsterdam and Warsaw.
The Liability models need to facilitate the financial risk strategy across the bank with the purpose of safeguarding ING’s financial health. To be successful the Expert Lead needs to properly manage close interactions with different partners and stakeholders throughout the ING organisation like Tech, Financial Risk, local units, Operations, Treasury, Model Validation and Corporate Audit Services as well with External stakeholders like the ECB and the External Auditors.
Given the nature and complexity of the projects timely planning, managing progress, organising decision making and managing alignment throughout the value chain is crucial.
What you'll do
You will set priorities and manage day-to-day activities of a team of approximately 7 FTE in an agile setting. The team focuses on 4 main activities:
the development of group Liability Models for all IRRBB exposures in the banking book, including behavioural risk models for savings, current accounts and term deposits, provide guidance, support and functional steering to business units regarding the development of local models and implementation of group models, set standards and develop tooling to support group and local business units in ongoing use, monitoring and recalibration and segmentation of models, and advise senior management on the models and regulatory compliance.
You will be responsible for:
further professionalising the team, as well in assuring that the personal and professional development of your team is well supported
the planning, execution and quality assurance of the activities of your team. This will require a close cooperation with different stakeholders in ING
delivering activities in time and with the right quality.
The position offers excellent opportunities to excel in what you do and to broaden your modelling, coding and leadership skills, as well as exposure to a dynamic and agile international working environment.
Who we are looking for you
You are a hands on type of leader that that has extensive experience in developing models. You are proven to be effective in establishing and implementing the right governance, model risk and process controls. You have proven to be successful in leading, developing and retaining a team of scarce professionals, can align model changes throughout the organisation and can lead conversations with senior managers, regulators and auditors.
Requirements include the following:
A PhD or a MSc in a quantitative field, e.g., mathematics, physics, statistics/ econometrics etc.
Additional qualifications such as the Chartered Financial Analyst (CFA) and Financial Risk Manager (FRM)
Expertise in ALM modelling, management, the concepts, methodologies and financial modelling techniques. In-depth knowledge of interest rate risk, liquidity risk, and balance sheet management principles
Familiar with industry best practices of behavioural modelling on IRRBB
At least 5 years of experience in the following areas:
Development of IRRBB models for large banks with complex organisations, systems and data infrastructures
Interest Rate Risk management of Banking Book positions with a risk profile that is long in duration and largely driven by customer behaviour
Implementation of IRRBB models in vendor systems and development of inhouse tooling
Mentoring and guiding model development professionals contributing to effective team management
Hands-on experience with the development and implementing ALM models, such as interest rate risk models, liquidity risk models or funds transfer pricing models.
Strong planning and reporting skills and experience
Strong communication and presentation skills
Fluency in English language
Constructive attitude and pro-active team player
What we offer
A job where you really can make a difference and impact for our customers The models that you and your team will develop will determine and measure risk and are key in all the decisions ING makes.
Grading
This position is graded in Global Job Scale 19
Other
The candidate has preferably extensive experience (recent or past) with the ING organization.