• Maintain and develop AIRB models in coordination with Model Development at ING head-office level to ensure the compliancy with ING Group’s methodological standards.
• Monitor our own AIRB models, including report writing and presentation to the Model Development committee.
• Control and assess the Group IRB models applied on our portfolio to ensure their adequacy with our risk assessment.
• Maintain and monitor the current IFRS-9 model in coordination with Credit Risk Management team and Finance department and forecast the loan loss provision driven by a set or relevant scenarios.
• Answer demands from auditors and regulators linked to Credit Risk Modelling which can include questions also related to Group models.
• Develop and perform stress testing and pillar 2 models driven by global or specific scenarios in the framework of IC/LAAP, or more generally respond to ad hoc solvency impact requests for both internal and regulatory purposes.
• Understand the Economic Capital model developed by head-office and expand its using within ING Luxembourg to improve the economic perspective of our balance sheet in our risk assessment.
• On ESG risk:
  
  • Design methodologies supporting the analytics developed by head-office to assess our physical and transition risk.
  • Improve the current pillar 1 and 2 models by including ESG risk drivers.
  • Rely on these models to perform stress-testing linked to climate or transition scenarios.
• Perform and analyse impacts’ simulation from Basel 4 framework in collaboration with local and central teams and prepare synthesis documents of the outcomes.
• Be an active contributor to enhance our data quality standards to improve and develop other risk models with support from Data Management teams.

• Provide modelling and quantitative expertise to the other teams from Risk department, Finance department, or directly to the Business to:
  
  • Enhance the risk culture, which is one of our key objectives at ING.
  • Strengthen the forward-looking perspective of our credit risk metrics including Ifrs-9 provision, RWA, EL and Economic Capital.
  • Execute sensitivity analysis on individual risk drivers.
• Be a local and referent models’ expert ensuring locally the model risk management governance set by head-office, and support model owners to comply with this framework.
• Ensure compliance of the models with upcoming regulation in collaboration with other risk teams and prepare locally the action plan to implement these development or calibrations with respect to internal or regulatory guidelines.
• Work on ad hoc demands related to models and assessments requiring quantitative background.

• Acquire a very good knowledge of the Bank’s portfolio, the related reporting infrastructure of ING Group (Vortex) and the management tools.
• Maintain a wide variety of contacts with internal teams at ING Luxembourg (other Risk teams, Finance, Group Treasury, various delivery tribes, etc…), our parent company ING Belgium, headoffice in Amsterdam, and external stakeholders (auditors, CSSF, etc…).

• Master's degree (Economics, Finance, other).
• Relevant experience (+5 years) in IRB modelling, preferably on retail portfolios.
• Experience related to regulatory guidelines (ECB, EBA, CRR, and CSSF).
• A fluent level in English (written and oral communication, a lot of exchanges are only in English).
• Programming in SAS (mandatory for regulatory models at ING).
• A strong ability to wrangle data, and acquire quickly the knowledge of the data warehouse architecture.
• Strong analytical skills.
• Autonomy and teamwork.
• Willingness to learn.

• Ifrs-9 and pillar 2 modelling (Economic Capital, stress-testing, concentration risk, business risk).
• Model risk management.
• Machine learning algorithms (random forest, SVM, gradient-boosting, etc…). - Programming in Python and SQL.
• Data visualisation charts (RShiny , Pyshiny, Bokeh, etc…).

• Personal growth & challenging work with endless opportunities to realise your ambitions.
• An informal, dynamic environment with innovative colleagues supporting your endeavours.
• A progressive and agile way of working, where new ideas are valued ahead of convention.
• A flexible work-life balance, including homeworking until 10 days a month.

• A fascinating job in the core of banking risk management challenges.
• Integration of several areas of expertise.
• Contacts with various internal and external stakeholders.
• Exposure to senior leadership of ING.