Senior Quantitative Analyst

at  ING

Pricing Model Validation at ING is looking for a senior Quant with experience in Equity and Commodity derivatives
Pricing Model Validation is an international team of highly qualified professionals. The team is responsible for validating of the 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. The position is open in Amsterdam. The team is part of Model Validation Trading Book Risks within the Model Risk Management department.

HOW TO SUCCEED

We are looking for a colleague who can strengthen our Equity and Commodity validation activities.

You have:

• At least five years of experience in modelling Equity and Commodity derivatives.
• Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or 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 stand point in plain language.
• Constructive attitude, pro-active team player, but can work independently on your own task.

ABOUT US

With 60,000 employees and operations in approximately 40 countries, there is no shortage of opportunities for people with initiative who want to help people take a step ahead in life and in business. Do you want to work at the cutting edge of what’s possible and at the same time ensure you work with integrity and hold the customer’s interests at heart? Do you want to be surrounded by progressive, inspiring, diverse and supportive colleagues? Then there is no better place to invest your talents than at ING. Join us. Apply today.

• 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.
• Manage a team 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.