Quantitative Analyst for Derivative Pricing Model Validation

1 week geleden


Amsterdam, Noord-Holland, Nederland ING Voltijd

Pricing Model Validation is an international team of highly qualified professionals responsible for the validation of derivative pricing models traded in the financial markets. As a Quantitative Analyst, you will be part of a global cross-asset team covering all derivatives traded by ING around the world.

Key Responsibilities

  • Analyse derivatives pricing models, critically evaluating the underlying mathematical model, investigating model suitability, and quantifying missing risk.
  • Develop and maintain a programming library for pricing derivatives and asserting the accuracy of the implementation.
  • Develop alternative pricing models to assess model limitations.
  • Document analysis, discuss findings with front office and market risk management, and present conclusions to the model approval committee.

Requirements

  • Quantitative background 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 and strong verbal communication skills.
  • Constructive attitude and pro-active team player.

Benefits

  • Tailored salary and 24-27 vacation days depending on contract.
  • Pension scheme, 13th month salary, and Individual Savings Contribution.
  • Hybrid working and personal growth opportunities.

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