Head of Market Risk Management

Your role & work environment

The Head of Market Risk Management is a direct report to the Chief Risk Officer, responsible for managing the balance sheet risks of ING Luxemburg, in particular the Interest Rate Risks in the Banking Books and the Funding & Liquidity risks.

The Head of Market Risk Management oversees a department of +/- 8 risk experts working closely with local Group Treasury teams, Finance teams and Pricing teams (amongst others), but also with Group Financial Risk teams (a.o., Model Development, FR Banking Risk, FR Balance Sheet Risk). In addition, the Head of Market Risk Management manages a large set of key stakeholders, such as regulatory bodies (CSSF/BCL), external auditors, and internal 3rd line of defence teams (Corporate Audit Services, Model Validation, etc). To ensure efficient decision-making and communication, the Head of Market Risk Management actively participates in multiple strategic committees, and is a.o. responsible to organize the local ALCO.

Your key responsibilities

The Head of Market Risk Management is responsible for:

Managing the Interest Rate Risks in the Banking Books (IRRBB), incl.

• Identifying key IRRBB and Credit Spread Risks in the Banking Books (CSRBB) risks and ensuring an appropriate framework is established to adequately manage them, incl. the definition of risk appetite;
• Modelling of the client behaviour in the products sold by ING Luxemburg and maintaining a strong model risk management framework;
• Ensuring execution of interest rate risk hedges; monitoring FM risk ;
• Preparing, reviewing and executing the applicable regulatory reporting (IRRBB, CSRBB) for the relevant scope in cooperation with Finance team;
• Anticipating, monitoring and reporting the evolution of the risks, developing appropriate mitigating actions proactively, and following relevant internal and external governance and requirements;
• Forecasting and stress testing the development and sensitivity of ING Luxemburg economic value and earnings;
• Monitoring the evolution of regulatory requirements and expectations, to proactively develop change roadmap, executing them and ensuring compliance;
• Determining the appropriate level of Economic Capital to be set aside to cover market risks;
• Performing the relevant second line controls on Group Treasury activities.

Managing the Funding & Liquidity (F&L) risks, incl.

• Identifying key F&L Risks and ensuring an appropriate framework is established to adequately manage them, incl. the definition of risk appetite;
• Modelling and forecasting evolution of key liquidity components, as well as F&L indicators;
• Ensuring execution of liquidity risk hedges;
• Preparing, reviewing and executing the regulatory reporting for the relevant scope in cooperation with Finance team;
• Anticipating, monitoring and reporting the evolution of the risks, developing appropriate mitigating actions proactively, and following relevant internal and external governance and requirements;
• Forecasting and stress testing the development and sensitivity of ING Luxemburg F&L indicators, incl. potential crisis impact (e.g., Covid) or expected business developments (e.g. negative interest rates);
• Monitoring the evolution of regulatory requirements and expectations, to proactively develop change roadmap, executing them and ensuring compliance.

Adopting Group standards and solutions, incl.

• Migrating models to relevant Group models with appropriate validation;
• Migrating processes to the Group ALM platform (Standard QRM), with appropriate controls;
• Executing all controls to ensure minimal operational risks and comply with requirements (e.g., SOx);
• Bringing in knowledge on Hedge Accounting and organizing the internal transfer of respective responsibilities to Finance;

• Identifying new requirements for Group solutions and contributing actively through co-development.

Building a future-proof Risk organization, incl.

• Developing a talent organization within Market Risk Management and beyond, across the Risk department, incl. through performance management, talent management and development, mentoring, exchange of talents, etc;
• Participating in local Risk Management Team to:
  • Address transversal risk elements, incl. transversal risk identification and assessment but also new regulatory requirements (e.g., Climate Risk);
  • Monitor key programs and metrics across all Risk domains and co-develop mitigating approaches when required;
  • Manage department efficiently (incl. budget, performance reviews, NFR elements etc)

We look for

A colleague with a talent for taking it on and making it happen, enthusiasm for helping others to be successful and a knack for always being a step ahead. In other words, you strive to bring fresh ideas to life and embrace challenges in a fast changing and complex environment. You are a naturally collaborative person who listens and invests in others to achieve common goals. You love to challenge the status quo and are eager to propose creative solutions to problems.

As a Head of Market Risk Management, you will also need:

• Advanced degree in financial economics or equivalent
• 10Y experience in banking with a focus on ALM
• Strong expertise in ALM domain
• A passion and a recognized experience in people management skills
• Excellent quantitative, structuring and analytical skills
• Successful (senior) stakeholder management skills
• Advanced program management skills

We offer you  

A clear purpose, a unique offer and a range of flexible compensation and other benefits:

• Personal growth & challenging work with endless opportunities to realise your ambitions
• An informal, dynamic environment with innovative colleagues supporting your endeavours
• A progressive and agile way of working, where new ideas are valued ahead of convention

Furthermore, within the Market Risk Management department, you can count on a range of opportunities to invest in your personal and professional growth with:

• Great experience in managing the balance-sheet of a universal bank;
• Significant exposure to senior leadership both at local and global levels;
• A key position to actively support the strategic developments of the bank, providing relevant insights and sharing advices for the development of the balance-sheet.

We redefine banking. What about you?

There has never been a more interesting time to work at ING. We’re on a journey that’s centred around our customers, powered by technology and driven by smart, determined people. Our customers feel our people are empowering them to stay a step ahead in life and in business. We’re proud of that!