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Quantitative Analyst - Pricing Model Validation

Bedrijf: ING
Richting(en): Management |
Niveau: WO
Locatie: Amsterdam
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Pricing Model Validation at ING is looking for an enthusiastic Quant at junior to senior level who has passion for derivative pricing models

Pricing Model Validation is an international team of highly qualified professionals. The team is responsible for validation of the derivative pricing models used by ING Financial Markets. We are a global cross-asset team covering all traded products in all trading locations of ING around the world. The position is open in Amsterdam. The team is part of Model Validation Trading Book Risks within the Model Risk Management department.

What you’ll do

  • Perform validation of pricing models, where you critically look at the proposed model, analyze model suitability and its shortcomings, quantify missing risk, develop alternative models, and make final judgement on the quality of the model.
  • Develop and maintain the programming library, which is used for analysis of the models and for asserting of the accuracy of the implementation.
  • Write high quality validation reports, discuss your findings with colleagues, front office quants and traders, and senior management. Present your reports at the corresponding committees.
  • Perform ad-hoc analyses for acute business needs.

Who are we looking for

We are looking for an enthusiastic colleague who enjoys analyzing pricing models, investigating alternative approaches, coding sophisticated models, and writing high quality validation reports.

You have:

  • Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or similar field.
  • Good knowledge of financial mathematics. You know the theory of stochastic calculus and derivative pricing and familiar with the modern features like multi-curve pricing of IR derivatives and IBOR reform.  
  • Solid programming experience, preferably in C++ and Python.
  • Good English writing skills. You are accurate and skilled at drafting reports.
  • Strong verbal communication skills. You present your work to your model validation colleagues, front office quants, traders, senior management, and are able to defend your stand point in plain language.
  • Constructive attitude, pro-active team player, but can work independently on your own task.

What we offer

We offer a 40 or 36 hour contract. We care about an adequate work–life balance and we empower our colleagues to realize their ambitions: “Do your thing.” You can find the employment conditions here. In short, we offer:

  • Challenging, interesting and evolving job career.
  • Competitive salary tailored to your skills, competences, experience and performance.
  • Flexible work environment, with the possibility of working from home.
  • Choice of transportation allowances.
  • 27 vacation days with a 40-hour contract, or 24 days with a 36-hour week.
  • Pension scheme.
  • 13th-month salary.
  • Individual Savings Contribution (BIS), 3.5% of your gross annual salary.
  • 8% holiday payment.
  • Progressive way of working according to the Agile method, so that new ideas come to life steadily.
  • Friendly working environment with innovative colleagues who share your passion and drive for the best
  • Time and support for personal development, including courses.
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Following ING’s Think Forward Strategy to become the next generation digital bank, data and models are considered key assets in our bank. As model validators we safeguard the quality of ING’s models, which are used for all kinds of decision making purposes. We also contribute to the Model Risk Management (r)evolution that is picking up worldwide, given that models are imperfect representations of reality and hence may lead to financial losses and/or reputational damage. To effectively achieve these challenges, our Model Validation teams have been substantially growing in 
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Startdatum: 01 oktober 2022

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