Stagiair model validation work at ING

The Model Validation Trading Risk Chapter is an energetic, diverse and collaborative team currently consisting of about 15 highly qualified professionals of various quantitative backgrounds, located in Amsterdam.

Following ING’s Think Forward Strategy to become the next generation digital bank, data and models are considered key assets in our bank. As model validators we safeguard the quality of ING’s models, which are used for all kinds of decision making purposes. We also contribute to the Model Risk Management (r)evolution that is picking up worldwide, given that models are imperfect representations of reality and hence may lead to financial losses and/or reputational damage. To effectively tackle these challenges, our Model Validation teams have been substantially growing in size lately and will further grow, also internationally.

Direct solliciteren

Wat ga je doen?

We are responsible for validating Market & Counterparty Credit Risk models used by ING in about 40 countries all over the globe. We cover an interesting, wide and evolving model scope aimed to measure the market & counterparty credit risks in trades with a counterparty. These models tend to be technically advanced. Our core business consists of independently assessing whether a particular model is fit for the purpose that it was designed for, based on the business context, academic theories, empirical evidence, regulations, best practices & technological innovations. Effective challenge is key in our role. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING and global financial stability.

The role of model validator

As a model validator you focus on and further learn about the topics related to the models in your scope, using econometrics, quantitative finance, coding, business knowledge and related regulations. You perform in-depth analyses and write code to perform quantitative assessments. You summarize your analyses and conclusions in clear, fact-based and persuasively written reports, which are presented to the relevant Model Approval Committee. You share your knowledge and effectively communicate with team members and a wide range of internal and external stakeholders. You also have the opportunity to participate in the development of innovative, state-of the-art validation frameworks and coding libraries.

Your main daily activities consist of the following:

  • Assessing the fundamental assumptions underlying the models in scope, whether the models are correctly implemented in the systems, and their appropriateness given the business and (evolving) regulatory context.
  • Writing high quality validation reports, to be discussed with e.g. model developers, senior management, auditors, the ECB and other regulators. These reports include a description of the methodology, your model risk assessment of the various model validation dimensions, as well as a number of findings for model improvement (which require follow-up by the developers).
  • Preparing ad-hoc analyses for e.g. senior management and providing advice on model risk.
  • Participating in the expansion and promotion of our new validation frameworks. These include policies, validation minimum standards and working instructions that aim to professionalize the model risk assessment based on the key model validation dimensions.
  • Participating in the development of our new validation coding libraries.

Your prospective model scope is broad and are related to the following main areas:

  • Market Risk modelling (IMA). E.g. Value-at-Risk (VaR) models, which capture the risk of fluctuations in the market variables that determine the value of traded products.
  • Fundamental Review of the Trading Book (FRTB).
  • Counterparty Risk modelling. E.g. Potential Future Exposure (PFE), Expected Positive Exposure (EPE), SA-CCR etc.
  • Valuation Adjustments. E.g. Counterparty Risk (CVA, DVA, FVA), Prudent Valuation (AVA) etc.
  • Standard Initial Margin Modelling (SIMM).

Wat krijg je er voor terug?

Wat ga je doen?

We are responsible for validating Market & Counterparty Credit Risk models used by ING in about 40 countries all over the globe. We cover an interesting, wide and evolving model scope aimed to measure the market & counterparty credit risks in trades with a counterparty. These models tend to be technically advanced. Our core business consists of independently assessing whether a particular model is fit for the purpose that it was designed for, based on the business context, academic theories, empirical evidence, regulations, best practices & technological innovations. Effective challenge is key in our role. Herewith we contribute to sound business practices, supporting a healthy, sustainable ING and global financial stability.

The role of model validator

As a model validator you focus on and further learn about the topics related to the models in your scope, using econometrics, quantitative finance, coding, business knowledge and related regulations. You perform in-depth analyses and write code to perform quantitative assessments. You summarize your analyses and conclusions in clear, fact-based and persuasively written reports, which are presented to the relevant Model Approval Committee. You share your knowledge and effectively communicate with team members and a wide range of internal and external stakeholders. You also have the opportunity to participate in the development of innovative, state-of the-art validation frameworks and coding libraries.

Your main daily activities consist of the following:

  • Assessing the fundamental assumptions underlying the models in scope, whether the models are correctly implemented in the systems, and their appropriateness given the business and (evolving) regulatory context.
  • Writing high quality validation reports, to be discussed with e.g. model developers, senior management, auditors, the ECB and other regulators. These reports include a description of the methodology, your model risk assessment of the various model validation dimensions, as well as a number of findings for model improvement (which require follow-up by the developers).
  • Preparing ad-hoc analyses for e.g. senior management and providing advice on model risk.
  • Participating in the expansion and promotion of our new validation frameworks. These include policies, validation minimum standards and working instructions that aim to professionalize the model risk assessment based on the key model validation dimensions.
  • Participating in the development of our new validation coding libraries.

Your prospective model scope is broad and are related to the following main areas:

  • Market Risk modelling (IMA). E.g. Value-at-Risk (VaR) models, which capture the risk of fluctuations in the market variables that determine the value of traded products.
  • Fundamental Review of the Trading Book (FRTB).
  • Counterparty Risk modelling. E.g. Potential Future Exposure (PFE), Expected Positive Exposure (EPE), SA-CCR etc.
  • Valuation Adjustments. E.g. Counterparty Risk (CVA, DVA, FVA), Prudent Valuation (AVA) etc.
  • Standard Initial Margin Modelling (SIMM).

Wie is ING

The Trading Risk chapter is part of ING’s global Model Risk Management domain, which consists of multiple Model Validation teams (i.e. “tribes”& “chapters”, each focusing on a main risk area(s)) and Model Risk Oversight, located both in Amsterdam and Poland.

  • The domain has adopted and will further progress with the ING One Way of Working. In our organisational set-up, we distinguish tribes, chapters and squads.
  • Our main stakeholders are within ING’s head office and local risk management departments worldwide, senior management (including the CRO, his management team, the Executive Board and local CROs), internal and external auditors, the ECB and other regulators. To ensure its independence and effective challenge, Model Risk Management reports directly to the CRO.
  • Our work environment can be described as dynamic and professional, with changing requirements and needs. We work in a spirit of trust, a sense of purpose, curiosity, cooperation and open communications. Continuous learning, adding value to our stakeholders and building on differences are important. We empower our people to take responsibility and promote continuous improvements, innovation and automation.

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