Job description

As a Senior Quantitative Credit Risk Capital Modeller you will be responsible for the calculations at portfolio level on a monthly and quarterly basis. This covers the total ING Bank and ING Insurance portfolios.

For these calculations various numerical mathematical techniques are used, together with stochastic models and Monte Carlo simulations. Additionally, a vast quantity of data is processed; this requires high performance computing and databases.

Job responsibilities:

• Maintain and further improve the methodology that is used in the calculations;
• Maintain and further improve the tools and IT systems required for the calculations;
• Maintain the documentation supporting the calculations;
• Write documentation for internal clients, approval and audit authorities;
• Provide analyses of the results of the calculations at portfolio level;
• Give presentations/training outside the department on the models and the results of the calculations;
• Contribute to standards and methodologies to stay ahead in the field of risk management by initiating and carrying out research in the field of credit risk;
• Attending courses and seminars and closely follow literature on credit risk;
• Report to senior management;
• Guide junior staff on a daily basis.

Organizational context

ING Corporate Credit Risk Management (CCRM) is responsible for providing a single platform for the credit approval, credit risk management and reporting processes of ING Group. These activities are supported by CCRM with risk research, policy development and systems specification and support. CCRM is located in Amsterdam.

Credit Capitals (CC, part of CCRM) consists of three departments: Portfolio Modelling (PM), Credit Risk Rating Models and Country Risk Research. The PM team is an international team of professionals with an open and informal atmosphere, focused on teamwork. The PM team is responsible for the credit risk economic capital methodology of ING Group. PM is looking for an experienced and enthusiastic academic to strengthen the department.

Personal profile

For this Senior position you have:

• A university degree (MSc or PhD) in econometrics, mathematics, physics or comparable.
• 3 till 5 years of relevant working experience;
• Strong analytical skills;
• Experience in data mining problems.

Furthermore:

• You combine a keen interest in the many aspects of financial risk, together with an affinity with IT systems;
• Working knowledge of SQL and C++ is essential;
• Fluency in English is required.

Salary & Benefits

We offer you a challenging position in an open, informal organization where personal development is leading. In addition, ING offers excellent conditions of employment and benefits such as a thirteenth month, variable remuneration (based on ING’s growth in earnings and on your own performance), substantial training facilities and staff discounts on mortgages and insurance.

This is a fulltime position, 36-40 hours a week.

You will be working in Amsterdam South East.

How to apply

Interested? Please send your English resume and letter of motivation to Ms Daniela Giacomuzzo, Recruiter, by clicking on the below link.

For further details on this vacancy, you are welcome to contact Mr Danny Dieleman, Manager Credit Portfolio Modelling, telephone number +31 (0)20 56 51028.

Would you like to know more about credit risk management positions? Please go to: http://www.ing.jobs/careers/netherlands, select apply to ING, view job posting, risk management.