Model Validation work-along intern – Trading Risk models

Model Validation is looking for an enthusiastic and curious intern who likes to develop him/herself in the Trading Risk Chapter

The Model Validation Trading Risk Chapter is an energetic, diverse and collaborative team currently consisting of about 20 highly qualified professionals of various quantitative backgrounds, located in Amsterdam.

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).

Who are we looking for

We are looking for an enthusiastic work-along intern who enjoys performing quantitative analyses, writing & defending high quality validation reports, and have an intrinsic curiosity to continuously expand their knowledge. In particular, as a member of our team, you have:

• Currently enrolled as a student with a quantitative background, i.e., studying for a MSc in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Finance, Mathematics, Statistics etc.
• A curiosity about in Trading Risk modelling.
• Solid programming experience (preferably in Python).
• Strong verbal communication skills. You enjoy sharing and presenting your work to colleagues, senior management, auditors, the ECB and other regulators, and are able to defend your stand point in plain language.
• Good English writing skills, you are accurate and skilled at drafting reports.

Above all, you have a genuine passion to continuously improve yourself and our team. As a model validator at ING, you will be empowered to have a true impact on ING’s future model landscape. Moreover, you will contribute to further implementing ING’s innovative Think Forward strategy.

Your work environment

• The Trading Risk chapter is part of ING’s global Model Risk Management domain, which consists of multiple Model Validation teams (i.e. “tribes”& “chapters”, each focusing on a main risk area(s)) and Model Risk Oversight, located both in Amsterdam and Poland.
• The domain has adopted and will further progress with the ING One Way of Working. In our organisational set-up, we distinguish tribes, chapters and squads.
• Our main stakeholders are within ING’s head office and local risk management departments worldwide, senior management (including the CRO, his management team, the Executive Board and local CROs), internal and external auditors, the ECB and other regulators. To ensure its independence and effective challenge, Model Risk Management reports directly to the CRO.
• Our work environment can be described as dynamic and professional, with changing requirements and needs. We work in a spirit of trust, a sense of purpose, curiosity, cooperation and open communications. Continuous learning, adding value to our stakeholders and building on differences are important. We empower our people to take responsibility and promote continuous improvements, innovation and automation. 

Rewards and benefits

This is a great opportunity to train with highly skilled people who are experts in their field. You’ll do a lot and learn a lot – not only about your specialist area and the bank, but also about yourself and whether this type of environment is right for you.

You’ll also benefit from:

• Internship allowance of 700 EUR based on a 36 hours work week

• Your own work laptop

• Hybrid working to blend home working for focus and office working for collaboration and co-creation

• Personal growth and challenging work with endless possibilities

• An informal working environment with innovative colleagues

During the duration of your internship at ING, it is mandatory to be enrolled at a Dutch university (or EU-university for EUpassport holders).

About our internships

Every year, more than 350 students join our internship program. While there are no guarantees about your future, many of our former interns move into a permanent role or onto our International Talent Programme (traineeship).

Whatever happens, an internship at ING is the ideal opportunity to meet a wide variety of people, to build up your own network, and to learn about many different aspects of banking – put simply, it’s a great start to your career.