Senior Quantitative Analyst

Job title:

Senior Quantitative Analyst

Company:

ING

Job description

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.OrganisatieLocatie AmsterdamSalaris € 5.996 – € 9.583 maandGepubliceerd op 16-07-2024

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Roles and responsibilities

• 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.

How to succeedWe 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.

Expected salary

€5996 – 9583 per month

Location

Amsterdam, Noord-Holland

Job date

Thu, 18 Jul 2024 03:24:20 GMT

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