MV’s key objectives are:1) assuring that models are reliable, “fit for purpose”, perform adequately and are compliant with internal policies and evolving external regulations.2) increasing the understanding of a model’s limitations and weaknesses.3) contributing to ongoing model improvements by e.g. MV publishes detailed validation reports that address these objectives, summarising the model and its limitations, thereby issuing recommendations for model improvement.MV’s main stakeholders are ING’s head office and local risk departments (in over 40 countries worldwide), senior management (including the CRO and Executive Board), internal and externalauditors, the ECB and other regulators. Apply directly online by clicking on “Apply for this job”. To get you up to speed on your application, we will just ask you a few simple questions to complete your profile.We will start with a brief review of the different types of operational risk events and their loss impacts.We then explain how operational risk can be modeled using internal and external loss data, self-assessments and other techniques.Join key industry figures in Japan to gain insights on the latest in OTC derivatives clearing, collateral management, securities lending and repo trading in the region.MODEL VALIDATOR Trading, Counterparty Credit, IRRBB, Liquidity & Operational Risks Job Type: Risk Management/Research & Advice Job Category Location: Amsterdam (The Netherlands)ING is looking for high potential junior, medior & senior candidates to strengthen the “Market Risk” model validation team (MV), covering Trading, Counterparty Credit Risk, Interest Rate Risk in the Banking Book (IRRBB), Liquidity Risk & Operational Risk models within ING’s brand new Model Risk Management department.
Further, we explain, discuss and demonstrate how to verify and validate the OP risk framework and risk models.We discuss the problem in collecting and validating relevant (and sufficient) data for reliable estimates of a loss distribution.We give examples of how data for loss frequency by business line and event type can be obtained from external loss databases such as ORX and we demonstrate how this data can be combined with internal data and qualitative assessments to construct a loss distribution and to calculate expected and unexpected losses.In addition, for some portfolios, because the performance window needs to cover the effective portfolio lifetime, sufficient historical data is required to monitor and assess model performance.I am looking forward to discussing details of the comparison between CECL, incurred loss and CCAR stress testing models during the conference.
Methods include back testing and statistical testing.