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).