IRB Credit Risk Model Validation Specialist
The activities of a Specialist
As a Specialist, you are an expert in our team on credit risk model validation-related topics. You:
- advice our team during their validations on ING best practices, interpretation of regulation, and IRB validation approaches
- support the IRB Guild Lead to create the standard way of working by ensuring continuous improvement of our IRB policy framework, supporting tools, working instructions, and templates
- work together with IRB Guild Lead to deal with ECB's requests on IRB matters
- provide input on IRB related policies created elsewhere in ING (e.g. model governance, development standards, credit risk policies)
- perform horizontal reviews overall IRB models on specific topics
- support the validation teams to analyze how IRB models play a role in ING, such as in IFRS9 credit approval and credit monitoring processes.
- translate new developments within the industry to the implications to ING and CRMV, such as new regulation, industry best practices, academics, and industry benchmarking exercises
- facilitate knowledge sharing within the team
- support ongoing initiatives on continuing improvements on standardization and automation within CRMV
- contribute to validations projects.
Who are we looking for?
We are looking for colleagues with strong technical capabilities and deep knowledge of IRB practices and its link to IFRS9 framework and Credit Decision models (CDM).
- an academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field
- detailed knowledge on IRB applied regulations: Basel, CRD/CRR, EBA guidelines and Regulatory technical Standards
- at least 5 years related work experience with credit risk models
- acquaintance with modelling and validation in IRB approach
- excellent communication, writing & reporting skills in English
- an investigative and critical, though positive constructive mindset
The following areas give you an extra advantage:
- knowledge of ECB supplementary validation reporting
- familiarity with IFRS9 framework
- understanding of application scorecards, early warning system or other credit risk related models