Financial Model Specialist
1 dag geleden
Pricing Model Validation is an international team of highly qualified professionals within the ING organization. We are responsible for validating derivative pricing models traded globally in the financial markets. This role is based in Amsterdam and forms part of Model Validation of Trading Books within the broader Model Risk Management department.
We are seeking an enthusiastic colleague to join our team as a Financial Model Specialist, who enjoys analyzing pricing models, investigating alternative approaches, coding sophisticated models, and writing high-quality reports.
Key Responsibilities:- Analyze derivatives pricing models by critically examining the underlying mathematical model, investigating model suitability for specific pay-offs, and quantifying missing risk.
- Develop and maintain a programming library used for pricing various derivatives and asserting the accuracy of their implementation.
- Design alternative pricing models to assess model limitations and document analysis, discussing findings with front office and market risk management teams, and presenting conclusions to the model approval committee.
To succeed in this role, you will have:
- A quantitative background, preferably holding a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or similar fields.
- Deep knowledge of financial mathematics, including stochastic calculus, measure theory, and derivative pricing, with expertise in option pricing models and modern features like multi-curve pricing of IR derivatives and IBOR reform.
- Solid programming experience, preferably in C++ and Python.
- Good English writing skills, with the ability to draft clear and accurate reports.
- Strong verbal communication skills, with the capacity to present complex work to colleagues, senior management, and defend your stance effectively.
- A constructive attitude and pro-active team player mindset, with the ability to work independently on tasks.
We strive to ensure that you can achieve a suitable balance between your career and personal life. Our employment conditions are available on our website.
The benefits of working with us at ING include:
- A competitive salary tailored to your qualities and experience: €80,000 - €120,000 per annum.
- 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.
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