jobid=A.0.0499
ING is looking for a Model Developer for the Risk Trading Quant Team in the Integrated Risk Model Development department. We are an energetic international team of highly qualified professionals specializing in Trading pricing models, Market risk, and Counterparty credit risk in the Trading book.
We are part of the Integrated Risk Model Development department, which comprises a large team of modeling experts in Trading Risk, Credit Risk, and Market Risk, working on IRRBB and Balance Sheet Risk models with state-of-the-art methodologies, tooling, and data-processing technologies. This position offers excellent opportunities to enhance your modeling and coding skills and gain exposure to a dynamic, agile international environment. Does this sound interesting? Please read on!
Roles and Responsibilities
The team activities are diverse. Here are some main tasks:
- Develop calculation methodologies for valuation adjustment models considering model risk uncertainty or concentration of positions;
- Develop Trading Risk methodologies such as Incremental Risk Charge (IRC/DRC), VaR scenario specifications, Risk not in model, historical market data models, stress testing, and economic capital models;
- Develop Counterparty Credit risk models;
- Design model monitoring methodologies;
- Perform production system implementation checks by benchmarking or directly implementing models in systems;
- Provide quantitative support to risk managers and traders, including integration of new products/pricing models, development of analytical tools, and analysis of P&L explanations or market data proxies.
How to Succeed
You have:
- A PhD or MSc in a quantitative field such as mathematics, physics, statistics, or econometrics;
- 3 to 5 years of quantitative experience in areas including:
- Market Risk and/or Counterparty Credit Risk models and their implementation in Python or C++;
- Derivatives pricing in asset classes like Interest Rate & Inflation, FX, Credit, Equity, Commodities, or XVA, including model implementation in Python or C++;
- Knowledge of regulatory frameworks such as CRR Market Risk, FRTB, or Prudent Valuation.
Rewards and Benefits
We aim to help you balance your career and personal life. Find out more about our employment conditions.
The benefits include:
- A salary tailored to your experience;
- 26-28 vacation days depending on your contract;
- Pension scheme;
- 13th-month salary;
- 8% holiday payment;
- Mobility card;
- Hybrid working model;
- Opportunities for personal growth and challenging work;
- An informal, innovative working environment.
About Us
Curious about how ING empowers people and businesses? Discover what we do and what we can offer you.
Questions?
Contact the recruiter attached to this advertisement. To apply directly, upload your CV and motivation letter by clicking the ‘Apply’ button.
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