Senior Model Specialist XVA Modelling

1 week geleden

Amsterdam, Noord-Holland, Nederland ING Voltijd

Pricing Model Validation at ING

The Pricing Model Validation team is looking for a senior quant with experience in XVA modelling.

The team is responsible for validating derivative pricing models used by ING Financial Markets. We are a global cross-asset team covering all traded products in all trading locations of ING around the world.

Roles and Responsibilities

  • Perform validation of pricing models, where you critically look at the proposed model, analyze model suitability and its shortcomings, quantify missing risk, develop alternative models, and make final judgement on the quality of the model.
  • Supervise junior quants, review their work and reports.
  • Develop and maintain the programming library, which is used for analysis of the models and for asserting of the accuracy of the implementation.
  • Write high quality validation reports, discuss your findings with colleagues, front office quants and traders, and higher management. Present your reports at the corresponding committees.
  • Perform ad-hoc analyses for acute business needs.

Requirements

  • At least 3 years of experience in XVA models with solid knowledge of all flavors of XVA: CVA, FVA, ColVA, MVA, and so on.
  • Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or a similar field.
  • Good knowledge of financial mathematics. You know very well the theory of stochastic calculus and derivative pricing and feel at home with the modern features like multi-curve pricing of IR derivatives and IBOR reform.
  • Solid programming experience in C++ and Python and bindings between them.
  • 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 standpoint in plain language.
  • Constructive attitude, pro-active team player, but can work independently on your own task.

Benefits

  • 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.

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