Quantitative Analyst at Pricing Model Validation

6 dagen geleden

Amsterdam, Noord-Holland, Nederland ING Voltijd
About the Role

Pricing Model Validation is a critical function within ING, responsible for ensuring the accuracy and reliability of derivative pricing models used in the financial markets.

Key Responsibilities
  • Analyse and validate derivatives pricing models, identifying potential risks and limitations, and developing alternative pricing models as needed.
  • Develop and maintain a programming library for pricing derivatives and asserting the accuracy of implementations.
  • Collaborate with front office and market risk management teams to discuss findings and present conclusions to the model approval committee.
Requirements
  • PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or a related field.
  • Deep knowledge of financial mathematics, including stochastic calculus, measure theory, and derivative pricing.
  • Strong programming skills in C++ and Python, with experience in coding sophisticated models.
  • Excellent English writing and verbal communication skills, with the ability to present complex ideas in a clear and concise manner.
  • Constructive attitude, proactive team player, with the ability to work independently on tasks.
What We Offer
  • A competitive salary tailored to your qualifications and experience.
  • A 40 or 36 hour contract, with opportunities for flexible working arrangements.
  • A comprehensive benefits package, including a pension scheme, 13th month salary, and individual savings contribution.
  • Hybrid working arrangements, blending home working for focus and office working for collaboration and co-creation.
  • Personal growth and challenging work with endless possibilities.

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