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 in pricing models? If so, we may have an 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. As part of the Integrated Risk Model Development department, we encompass a broad array of modelling specialists: Trading Risk, Credit Risk, and Market Risk in IRRBB and Balance Sheet Risk models, utilizing cutting-edge modelling techniques, tools, and data-processing technologies.

This role presents exceptional opportunities for professional growth and exposure to a vibrant and agile international work environment.

Key Responsibilities

The responsibilities of the team are diverse; here are some of the primary tasks:

  • Formulate the calculation methodologies for valuation adjustment models, accounting for model risk uncertainty and position concentration;
  • Develop methodologies for Trading Risk, including Incremental Risk Charge (IRC/DRC), VaR scenario specifications, Risk not in model, historical market data models, stress testing, and economic capital models;
  • Create models for Counterparty Credit risk;
  • Design methodologies for model monitoring;
  • Conduct production system implementation checks by comparing against your own benchmark implementation or directly implementing models within the systems;
  • Offer quantitative support to risk managers and traders within the risk modelling context, 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 take on responsibilities. 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++; familiarity with derivatives pricing across asset classes such as Interest Rate & Inflation, FX, Credit, Equity, Commodities, and/or XVA, along with model implementation in Python or C++; knowledge of 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.

Benefits and Rewards

We are committed to ensuring you can achieve a healthy balance between your professional and personal life. You can discover 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), 3.5% of your gross annual salary;
  • 8% holiday payment;
  • Hybrid working arrangements to balance remote work for focus and office work 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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