Internship - Monte Carlo Models for Counterparty Credit Risk

We are looking for an intern to join the Monte Carlo squad within ING’s Counterparty Credit Risk team. You will help us analyse and monitor simulation-based models used to measure Potential Future Exposure (PFE) and Pillar II Exposure at Default (EAD) for derivative portfolios. Working with experienced risk specialists, model developers and IT colleagues, you will contribute to quantitative analyses, model monitoring and supervisory initiatives.

The team

The Monte Carlo squad is part of Financial Risk, Counterparty Credit Risk, Measurement & Methodology. The squad acts as Model Owner for simulation-based models that estimate how ING’s exposure to counterparties may develop over time. These models support counterparty limit management through PFE and contribute to Pillar II capital calculations through EAD.

We are an international team of quantitative risk professionals working in an open, collaborative and agile environment. Our work spans model monitoring, model change, exposure analysis, supervisory remediation and continuous improvement of the Monte Carlo framework.We work closely with Trading Risk Quants, Model Implementers, Model Users, Model Validation, IT, Front Office, Portfolio Management, internal audit and supervisors. This makes the role an excellent opportunity to learn how quantitative models, data, technology and governance come together in a large financial institution.

Roles and Responsibilities

You will support the squad in managing and improving ING’s Monte Carlo models for counterparty credit risk:

• Contribute to monitoring the performance, scope and key assumptions of the PFE and Pillar II EAD Monte Carlo models.
• Use Python, SQL and data-analysis tools to process large datasets, automate recurring analyses and improve the quality and reproducibility of reporting.
• Support quantitative assessments of topics such as non-simulated risks, model convergence and calibration stability.
• Help document methodologies, assumptions, results and conclusions in clear model-monitoring reports and presentations for technical and non-technical stakeholders.
• Collaborate with model developers and implementers on functional requirements, testing and the implementation of model or process improvements.
• Explore how advanced analytics and AI can make our monitoring, testing and reporting on model risk more efficient and insightful.

How to Succeed

Our biggest expectation is that you stay curious, keep learning and take ownership. In return, we will support you in building a strong understanding of counterparty risk management while developing analytical, quantitative, communication and stakeholder-management skills that will remain valuable throughout your professional career.

The candidate we are looking for:

• Is currently enrolled in a Master’s programme in Quantitative Finance, Econometrics, Mathematics, Physics, Data Science, Computer Science or a related quantitative field.
• Has preferably basic knowledge of  counterparty credit risk, derivatives, financial modelling and Monte Carlo simulation.
• Has good analytical and problem-solving skills and can translate complex results into clear conclusions.
• Has experience with Python; knowledge of pandas, NumPy, SQL, statistics or data visualisation is an advantage.
• Works accurately, takes initiative and enjoys turning ideas into practical results.
• Enjoys collaborating with colleagues from risk, quantitative modelling, IT and the business.
• Communicates clearly in English, both verbally and in writing.

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 EU passport holders).

Want to apply directly?

Please upload your CV and motivation letter by clicking the ‘Apply’ button. 

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.