Quantitative Risk Model Specialist

2 maanden geleden

Amsterdam, Noord-Holland, Nederland ING Voltijd

Are you eager to enhance your modelling and programming expertise? Do you possess experience with pricing models? If so, we may have the ideal opportunity for you.

Team Overview

We are a dynamic, globally diverse team of highly skilled professionals specializing in Trading pricing models, Market risk, and Counterparty credit risk within the Trading book. Our department, Integrated Risk Model Development, consists of a substantial group of modelling specialists focused on Trading Risk, Credit Risk, and Market Risk, including IRRBB and Balance Sheet Risk models, utilizing cutting-edge modelling techniques, tools, and data-processing technologies.

This role provides exceptional opportunities for professional growth while working in a fast-paced and agile international environment.

Key Responsibilities

The activities within our team are diverse. Here are some of the primary responsibilities:

  • Formulate the calculation methodologies for valuation adjustment models, considering model risk uncertainty and position concentration;
  • Create methodologies for Trading Risk, including Incremental Risk Charge (IRC/DRC), Value at Risk (VaR) scenario specifications, Risk not in model, historical market data models, stress testing, and economic capital models;
  • Develop models for Counterparty Credit risk;
  • Design methodologies for model monitoring;
  • Conduct production system implementation checks by comparing to your own benchmark implementation or directly implementing models within the systems;
  • Offer quantitative support to risk managers and traders in the context of risk modelling, integrating new products/pricing models into existing risk frameworks, and developing tools for insights into model choices, as well as analyzing methodologies for P&L explanation or market data proxies.

Qualifications for Success

We seek intelligent individuals like you for your potential. Our primary expectation is that you remain inquisitive, continue learning, and embrace responsibility. In return, we will support your development into an even more remarkable version of yourself.

You should possess:

  • A PhD or MSc in a quantitative discipline such as mathematics, physics, statistics, or econometrics;
  • 3 to 7 years of quantitative experience in Market Risk models and/or Counterparty Credit Risk models, including implementation in Python or C++; experience in derivatives pricing across at least one asset class: Interest Rate & Inflation, FX, Credit, Equity, Commodities, and/or XVA, with model implementation in Python or C++; familiarity with key regulatory developments (e.g., CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework);
  • Strong communication skills and fluency in English;
  • A constructive attitude and a proactive approach as a team player.

Rewards and Benefits

We aim to ensure that you can achieve a healthy balance between your professional and personal life. You can learn more about our employment conditions and the benefits of working with us at ING, which include:

  • A competitive salary tailored to your skills and experience;
  • 24-27 vacation days based on your contract;
  • A pension scheme;
  • A 13th month salary;
  • Individual Savings Contribution (BIS) at 3.5% of your gross annual salary;
  • 8% holiday payment;
  • Hybrid working arrangements to balance home working for focus and office working for collaboration;
  • Opportunities for personal growth and challenging work with limitless possibilities;
  • An informal working atmosphere with innovative colleagues.

We look forward to receiving your application. A motivation letter is preferred.

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