Quantitative Analyst at Pricing Model Validation

1 week geleden

Amsterdam, Nederland ING Voltijd

Pricing Model Validation at ING is looking for a Quant with knowledge and experience in derivatives pricingPricing Model Validation is an international team of highly qualified professionals. The team is responsible for the validation of the derivative pricing models traded in the financial markets. We are a global cross-asset team covering all derivatives traded by ING around the world. The position is open in Amsterdam. The team is a part of Model Validation of Trading Books within the Model Risk Management department.

**Roles and responsibilities**
- Analyse derivatives pricing models, where you critically look at the underlying mathematical model, investigate model suitability for particular pay-offs as well as its limitations, quantify missing risk, develop alternative pricing models, and make final judgement on the quality of the model.
- Develop and maintain the programming library, which is used for pricing various derivatives and for asserting of the accuracy of the implementation.
- Develop alternative pricing models to assess model limitations.
- Document your analysis, discuss your findings with front office and market risk management, and present your conclusions to the model approval committee.

**How to succeed**

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

You have:

- Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or similar field.
- Deep knowledge of financial mathematics. You know stochastic calculus, measure theory, and derivative pricing. You are well familiar with models used for option pricing as well as 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.

**Rewards and benefits**

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.”

The benefits of working with us at ING include:

- A salary tailored to your qualities and experience
- 24-27 vacation days depending on contract
- Pension scheme
- 13th month salary
- Individual Savings Contribution (BIS), 3.5% of your gross annual salary
- 8% Holiday payment
- 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

**About us**

**Interested to learn more?**

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

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