Model Validator IRRBB & ICLAAP

The global Model Validation IRRBB & ICLAAP chapter at ING in Amsterdam is a highly collaborative team of quantitative professionals safeguarding model quality for balance sheet and interest rate risk management. The team validates models used across 40 countries, covering interest rate risk in the banking book (IRRBB), internal capital adequacy assessment processes (ICLAAP), and asset-liability management (ALM). Daily responsibilities include performing independent, high-quality model validations, preparing comprehensive reports, challenging the first line of defense on model risk, and collaborating with Model Development and COO Risk teams. From a quantitative perspective, the role spans behavioral modeling of mortgage and loan prepayments, non-maturity deposits, valuation of embedded options in retail and wholesale portfolios, replication models for risk transfer, and interest rate market models such as the Hull-White model. Risk measurement models validated include NPVaR, RRaR, and NIIaR. The technical stack requires solid programming experience, with a strong preference for Python and R.