Trading Risk Quant

Organisatie
ING
Locatie
Amsterdam
Opleidingsniveau
WO
Arbeidsvoorwaarden
Marktconform
Vakgebieden

ING is looking forRisk Trading Quants

ING is looking fora Quantitative Analystfor the Risk Trading Quant Team in the Financial Risk Model Development department.

We are an energetic international team of highly qualified professionals.

Our area of expertise is FM Trading pricing models, market risk and counterparty credit risk in the Trading book.

We are part of the Financial Risk Model Development department, which comprises of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models, with state of the art modelling methods, tooling and data-processing technologies.

The position offers excellent opportunities to excel in what you do and to broaden your modelling and coding skills, as well as exposure to a dynamic and agile international working environment.

Doesit sound interesting? Please read on!

What you'll do

  • Develop the calculation methodologies for valuation adjustment models that account for the model risk uncertainty for the FX and Credit asset class;
  • Be responsible for the development of Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model (e.g. for IRC and VaR models).
  • Perform the production system implementation checks by comparing to your own benchmark implementation.
  • Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.

How to succeed

You have:

  • A PhD or a MSc in a quantitative field, e.g. mathematics, physics, statistics/ econometrics etc;
  • 3 to 7 years of Quant experience in the following areas:
    • Incremental Risk Charge (IRC/DRC) simulation, multi-factor models for joint defaults, dependence modelling via copulas, implementation of such models in Python or C++;
    • Credit or FX derivatives pricing, including model implementation in Python or C++.
    • familiarity with the most important regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc);
  • Strong communication skills and fluency in English; and
  • Constructive attitude and pro-active team player.

What we offer

A job where you really can make a difference and impact for our Customers. The models that you will develop will determine and measure risk and are key in all the decisions we make.

A job that provides you with lots of intellectual challenges that will boost your personal, professional, and career development.

Furthermore we provide:

  • 36 hours of 40 hours workweek
  • Flexible working hours and the possibility to work at home
  • 24 vacation days with a 36-hour working week. If you work 40 hours a week, you will receive 27 vacation days
  • A good salary tailored to your qualities and experience
  • Pension scheme
  • Support in case you need to relocate
  • Great international career opportunities
  • Personal growth and challenging work with endless possibilities to realize your ambitions

Questions?

Contact the recruiter attached to the advertisement for more information.Want to apply directly? Please upload your CV and motivation letter by clicking the “Apply” button.

About us

ING is a global bank with a strong European base. Our 53,000 employees serve around 38.4 million customers, corporate clients and financial institutions in over 40 countries.

Vacature informatie

Organisatie: ING

Locatie: Amsterdam

Opleidingsniveau: WO

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