ING Luxembourg is looking for:
Senior Quantitative Risk Modeler (m/f)
ING Luxembourg is looking for a full time Senior Quantitative Risk Modeler (m/f) on a permanent contract.
The current vacancy resides in the Regulatory, Models & Capital team which acts as a center of excellence within the Risk department.
At a first stage, from your thorough understanding of risk and credit data, you will contribute to implement the remediation plan of ING Luxembourg’s A-IRB models.
As a Senior Quantitative Risk Modeler, you will be responsible for developing, monitoring and validating all credit risk models for the business. You will implement models to support the delivery of the IFRS9 compliant impairment framework whilst also continuing the follow-up and re-calibration of the IRB framework.
As a Senior Quantitative Risk Modeler, your main tasks will be to:
- Develop, implement and maintain all the models related to credit risk quantification implemented by the bank;
- Implement a minimum of requirements regarding own funds calculation (Basel 3 requirements – Pillar 1 IRB approach);
- Validate the economic capital required for the management of the own funds adequacy (Basel 3 requirements – Pillar 2);
- Validate the general and specific provisions according to IFRS9 standard;
- Monitor the internal models performance through at least annual Back-testing and Benchmarking exercises;
- Communicate with the key stakeholders across the institutions (eg business lines) and at Head Office (eg Model development and Model Validation) as well as the regulator;
- Be able to rebuild the model offline or to recompute figures for the purpose of validation outputs;
- Document the assessment to the required standards (technical model documentation);
- Contribute to regulatory and internal projects, especially in the context of regulatory change or implementation.
Knowledge and Experience:
- University degree in mathematics, statistics or economics (BAC+5);
- Previous experience in Risk Management, especially in modelling would be appreciated;
- Knowledge of banking and financial industry, financial and lending products, and processes;
- Strong knowledge of regulatory requirements, especially regarding CRD, CRR and IFRS9;
- Strong IT competencies (Excel, Access, SQL) and programming (SAS, Python).
- You can handle stress and you have a high level of flexibility;
- You are highly team oriented, enthusiastic and proactive;
- You can communicate technical topics in a clear manner;
- You are well organized, autonomous and able to deliver a high quality work.
- Fluency in French and English;
- Traveling required.
Your working environment
With over 900 employees in the Grand Duchy and thanks to the combination of our local presence and the strength of a robust multinational like ING, we offer our personal and business customers a wide range of solutions through the channel of their choice.
ING is a global bank with a strong European base. 53,000 employees serve around 38.4 million customers, corporate clients and financial institutions in over 40 countries. Operating in the Grand Duchy of Luxembourg since 1960 as a universal and accessible bank, our products include savings, payments, investments, loans and mortgages for retail and private banking customers, whom we sever serve online and through our network of branches. For our Wholesale Banking clients, we provide lending, sustainable finance, payment & cash management and fund services.