Pricing Model Validation at ING is looking for a senior Quant with experience in XVA modelling

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 and we are open for a candidate relocating. The team is part of Model Validation Trading Book Risks within the Model Risk Management department.

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.

• Supervise junior 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 succeed

We hire smart people like you for your potential. Our biggest expectation is that you'll stay curious. Keep learning. Take on responsibility. In return, we'll back you to develop into an even more awesome version of yourself.

We are looking for a colleague who can strengthen our XVA validation activities. You have:

• At least 3 years of experience in XVA models with solid knowledge of all flavors of XVA: CVA, FVA, ColVA, MVA, and so on.

• Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or a 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.

Rewards and benefits

We want to make sure that it's possible for you to strike the right balance between your career and your private life. You can find out more about our employment conditions at https://www.ing.jobs/netherlands/Why-ING/benefits.htm The benefits of working with us at ING include:

•  A salary tailored to your qualities and experience 

• 24-27 vacation days depending on contract

• Pension scheme

• 13th month salary

• Individual Savings Contribution (BIS), 3.5% of your gross annual salary

• 8% Holiday payment

• Hybrid working to blend home working for focus and office working for collaboration and co-creation

• Personal growth and challenging work with endless possibilities

• An informal working environment with innovative colleagues

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.

Interested to learn more?

Watch and read why your potential future colleagues love modelling at ING by clicking below links:

• https://www.ing.jobs/netherlands/Expertise/Risk-Management.htm

• https://www.ing.jobs/netherlands/Expertise/Risk-Management/model-validation.htm