Quantitative Analyst for Derivative Pricing Model Validation
3 dagen geleden
Pricing Model Validation is a critical function within ING, responsible for ensuring the accuracy and reliability of derivative pricing models. As a Quantitative Analyst in this team, you will play a key role in analyzing and validating these models, identifying potential risks and limitations, and developing alternative pricing models to mitigate these risks.
Key Responsibilities
- Analyze derivatives pricing models, critically evaluating their underlying mathematical models and investigating their suitability for various pay-offs.
- Develop and maintain a programming library for pricing derivatives and asserting the accuracy of implementations.
- Develop alternative pricing models to assess model limitations and quantify missing risk.
- Document analysis, discuss findings with front office and market risk management, and present conclusions to the model approval committee.
Requirements
- Quantitative background with a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or a similar field.
- Deep knowledge of financial mathematics, including stochastic calculus, measure theory, and derivative pricing.
- Solid programming experience, preferably in C++ and Python.
- Good English writing skills and strong verbal communication skills.
- Constructive attitude, pro-active team player, and ability to work independently.
Benefits
- Tailored salary based on qualities and experience.
- 24-27 vacation days depending on contract.
- Pension scheme.
- 13th month salary.
- Individual Savings Contribution (BIS), 3.5% of 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.
- Informal working environment with innovative colleagues.
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