1. Responsability.

Primary areas of responsibility for the candidate are to:

• Develop new market risk models or improve existing ones. This starts with a conceptual study of new financial instruments or structured products and their mathematical basics, and involves the building of a prototype and its calibration (marking-to-market or marking-to-model). Model risk needs to be clearly identified and assessed with appropriate conservatism.
• Quantify and analyze all significant market risks for the trading portfolios within a Value-at-Risk environment.
• Verify the quality of the input market data and proceed to data mining where necessary.
• Stress test and back-test the different models.
• Discuss with Front Office, Risk Management ING and the Banking Commission to achieve best practices and state-of-the-art risk management.

2. Organisation Context.

Market Risk Modelling is responsible for the evaluation of all market risks -interest rate, foreign exchange and equity risk- and the development of internal models compliant with the requirements of the supervisory authorities. Based on these models, capital charges with respect to market risk are calculated.

3. Skills.

Applicants should hold a university degree (civil engineer, commercial engineer, physics, mathematics, economy) with a strong background in mathematics and statistics.

Experience in interest rate or equity modelling would be a strong advantage.
Experience in financial instruments and derivatives or risk management would be a strong advantage.

Native speaker in Dutch, French or English is preferred. Excellent knowledge of English is a minimum.

The candidate has to be PC-minded, with knowledge of Excel. Familiarity with Access and Visual Basic is not necessary, but would be a plus.

4. Personal Profile.

• Outstanding analytical skills.  Ability to reason conceptually and in mathematical formulae. High problem-solving motivation in complex matters. Eye for detail and accuracy.
• Good interpersonal communication skills, and ability to work in a small, highly specialized team. Team player.
• Open to innovation and continuous education.

5. Salary.

We offer you many perspectives for your future, fast possibilities of evolution and several professional trainings. But also a competitive salary and extralegal advantages.