Senior Model Validator XVA Model Expert
2 weken geleden
Pricing Model Validation at ING: Senior Quant Opportunity
ING is seeking a senior quant with extensive experience in XVA modeling to join our international team of highly qualified professionals. As a Pricing Model Validator, you will be responsible for validating derivative pricing models used by ING Financial Markets.
Key Responsibilities
- Perform thorough validation of pricing models, analyzing model suitability and shortcomings, quantifying missing risk, and developing alternative models.
- Supervise junior quants, review their work, and provide feedback.
- Develop and maintain a programming library for model analysis and implementation accuracy.
- Write high-quality validation reports and present findings to colleagues, front office quants, traders, and higher management.
- Perform ad-hoc analyses for acute business needs.
Requirements
- At least 3 years of experience in XVA models with solid knowledge of CVA, FVA, ColVA, MVA, and other XVA flavors.
- Quantitative background with a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or a similar field.
- Good knowledge of financial mathematics, including stochastic calculus and derivative pricing.
- Solid programming experience in C++ and Python, with experience in bindings between them.
- Excellent English writing and verbal communication skills.
- Constructive attitude, pro-active team player, and ability to work independently.
What We Offer
- Tailored salary based on qualifications and experience.
- 24-27 vacation days, depending on contract.
- Pension scheme.
- 13th month salary.
- Individual Savings Contribution (BIS).
- 8% Holiday payment.
- Hybrid working arrangement for focus and collaboration.
- Personal growth and challenging work opportunities.
- Informal working environment with innovative colleagues.
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