Model Validator IRRBB & ICLAAP

This role is for a Model Validator within ING's global Model Validation IRRBB & ICLAAP chapter, an international team based in Amsterdam responsible for safeguarding the quality of models used across 40 countries. The team focuses on models measuring interest rate risk on earnings and economic value, as well as various ALM models for balance sheet management. Key responsibilities include conducting timely, high-quality model validations in line with regulations, challenging model development teams on model risk, preparing and presenting validation findings to stakeholders, and contributing to innovative validation frameworks and automation initiatives. The role involves assessing models related to behavioral aspects (e.g., mortgage & loan prepayments, non-maturity deposits, embedded options), interest rate market models (e.g., Hull-White model), valuation, pricing, replication, and risk measurement (e.g., NPVaR, RRaR, NIIaR). A strong quantitative background and solid programming experience in Python and/or R are essential.