Senior Quantitative Analyst XVA

Organisatie
ING
Locatie
Amsterdam
Opleidingsniveau
WO
Arbeidsvoorwaarden
Marktconform

Pricing Model Validation at ING is looking for a senior Quantwith experience in XVA modelling


PricingModel Validation isaninternational team of highly qualified professionals.The team is responsible for validating 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.
  • Supervise junior quants, review their work and reports.
  • Develop and maintain the programming library, which is used for analysis of the models and for asserting of the accuracy of the implementation.
  • Writehigh quality validation reports,discuss your findings with colleagues, front office quants and traders, and higher management. Present your reports at the corresponding committees.
  • Performad-hoc analyses foracute business needs.

Who are we looking for

We are looking foracolleaguewho can strengthen our XVA validation activities.

Youhave:

  • At least three years of experience in XVA models with solid knowledge of all flavors of XVA: CVA, FVA, ColVA, MVA, and so on.
  • Quantitative background. You havea PhDorMSc degree inquantitative finance,econometrics,mathematics,physics,or similar field.
  • Good knowledge of financial mathematics. You know very well the theory of stochastic calculus and derivative pricing and feel at home withthe modern features like multi-curve pricing of IR derivatives and IBOR reform.
  • Solid programming experiencein C++ andPythonand bindings between them.
  • Good English writing skills.You are accurate and skilled at drafting reports.
  • Strong verbal communication skills. You presentyourwork toyour model validationcolleagues, front office quants, traders, senior management, andareable 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 36hour contract. We care about an adequate work–life balance and we empower our colleagues to realize their ambitions: “Do your thing.”You can find theemployment conditions here .Inshort, we offer:

  • Challenging, interesting and evolving jobcareer.
  • Competitive salary tailored to your skills, competences, experience and performance.
  • Flexible work environment, with the possibility of working from home.
  • Choiceoftransportation allowances.
  • 27 vacation days with a 40-hour contract,or 24dayswith a36-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 lifesteadily.
  • Friendly working environment with innovative colleagues who share your passion and drive for the best
  • Time and support for personal development, including courses.

Interested to learn more?

Apply directly online by clicking on “ Apply for this job ”.

Watch and read why your potential future colleagues love modelling at ING by clicking below links:

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

Solliciteren

Meer vacatures