Junior Quantitative Analyst

Junior Quantitative Analyst

Within ING Wholesale Bank we have embarked on the “Capital Velocity Strategy”. This strategy aims to make ING’s balance sheet more flexible and diversify ING’s income base. These goals are achieved by distributing illiquid bank loans to external investors. The distribution of these loans will free-up capital, so that ING can support its clients in more deals. In order to facilitate the distribution of loans to investors a Fair Value methodology and corresponding accounting framework need to be set-up and automated in ING’s systems. This endeavor is a joint effort between ING Lending and ING Financial Markets.

The “Fair Value Squad” is a cross departmental squad, consisting of experts from both ING Lending and ING Financial Markets. The team is based in Amsterdam and consists of about 10 professionals, with different roles.

What will you do?

• Act as a junior specialist within the “Fair Value” squad to develop pricing, credit and market risk models for illiquid bank loans. This also includes efficient implementation of the models using principles of good software design.
• Closely collaborate with the other team members in the “Fair Value” squad following the SCRUM methodology for software development.
• Co-operate with other quantitative analysts within Financial Markets, Lending and risk departments. Also, the cooperation with colleagues from the trading desks in Financial Markets and loan origination teams in Wholesale Banking are important.
• Maintain tools, programming libraries and test environments that are set up to support the model development and integration.
• Perform quantitative analysis on market data, trade requests and pricing & risk functionality to support the business.
• Give general quantitative support to trading desks and loan origination teams.

What do we need?

• We are looking for enthusiastic academics with excellent analytical skills. You have a keen interest in quantitative finance and risk modeling.
• A university degree in a quantitative field (econometrics, mathematics, physics or engineering) with some industrial experience as quantitative analysts (< 3 years);
• Knowledge of C++ and/or quantitative software packages (Python, Matlab, Mathematica) and parallel programming;
• Significant interest in- and knowledge of financial instruments and the financial markets, including risks, pricing and revaluation as a result of market movements;
• Fluency and excellent writing skills in English.

The team is responsible for developing and implementing the complete Fair Value model for pricing and risk-management purposes. The fair value model relies on the projected cashflows which in turn can also be used for other calculations such as Net Present Value (NPV). The team is also responsible for the automation of the fair value accounting ING’s loan portfolio. This requires the fair value to be captured in the Loan Administration system LoanIQ to generate correct unrealized P&L postings. The model and supporting IT solution will be used globally.

What we offer

A job from 36 to 40 hours and a unique offer that fits in with the times of today. We take into account your home situation and your ambitions and help you to balance work and private life. Discover yourself our employment conditions. ;

• A salary tailored to your qualities and experience;
• Flexible working hours and the possibility to work at home;
• Reimbursement for travel expenses;
• 24 vacation days with a 36-hour working week. If you work 40 hours a week, you will receive 27 vacation days;
• Pension scheme;
• 13th month salary;
• Individual Savings Contribution (BIS), 3.5% of your gross annual salary;
• 8% Holiday payment;
• Personal growth and challenging work with endless possibilities to realize your ambitions;
• An informal working environment with innovative colleagues who strive for the very best.

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.

Please note, multiple interview steps involving various business stakeholders will be part of the selection process.