Derivatives Model Validation Specialist at ING
1 week geleden
At ING, our team of highly skilled professionals is dedicated to validating derivative pricing models used in the financial markets. As a Derivatives Model Validation Specialist, you will be responsible for analyzing these models, identifying potential limitations, and developing alternative pricing models to ensure their accuracy.
Salary
The estimated salary for this position is between €80,000 and €120,000 per annum, depending on experience. This competitive package reflects the high demand for skilled professionals in this field.
Job Description
In this role, you will work closely with our front office and market risk management teams to analyze derivatives pricing models, identify areas for improvement, and develop alternative models to assess their limitations. Your responsibilities will include:
- Analyzing derivatives pricing models, including critically evaluating the underlying mathematical model, investigating model suitability for specific payoffs, and quantifying missing risk.
- Developing and maintaining a programming library used for pricing various derivatives and asserting the accuracy of their implementation.
- Documenting your analysis, discussing findings with front office and market risk management teams, and presenting conclusions to the model approval committee.
Required Skills and Qualifications
To succeed in this role, you will need:
- A quantitative background, preferably with a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or a similar field.
- Deep knowledge of financial mathematics, including stochastic calculus, measure theory, and derivative pricing.
- Solid programming experience, preferably in C++ and Python.
- Good English writing skills, with the ability to draft high-quality reports.
- Strong verbal communication skills, with experience presenting complex ideas to diverse audiences.
- A constructive attitude and a proactive approach to teamwork, as well as the ability to work independently when necessary.
Benefits
We offer a comprehensive benefits package, including:
- A 40 or 36 hour contract, allowing for a healthy work-life balance.
- A pension scheme and 13th month salary.
- Individual Savings Contribution (BIS), equivalent to 3.5% of your gross annual salary.
- 8% Holiday payment.
- Hybrid working arrangements, blending home working for focus and office working for collaboration and co-creation.
- Personal growth opportunities and challenging work with endless possibilities.
- An informal working environment with innovative colleagues.
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