Oferta pracy

Quantitative Analyst – Pricing Model Validations

ING Tech Poland

  • Zajęcza 4, Warszawa
    Warszawa, Masovian
  • offer expired 2 months ago
  • contract of employment
  • full-time
  • specialist (Mid / Regular)
  • remote recruitment

ING Tech Poland

Zajęcza 4

Warszawa

Your 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 judgementon the quality of the model.

  • 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

  • Develop and maintain the programming library, which is used for analysis of the models and for asserting of the accuracy of the implementation

  • Perform ad-hoc analyses for acute businessneeds

Our requirements

  • you have an academic MSc or PhD degree in a quantitative field, preferably (financial) mathematics, econometrics or physics

  • you have up to 5 years of experience, with familiarity on derivatives pricing, financial markets, and the modern features like multi-curve pricing of IR derivatives and IBOR reform

  • you present strong knowledge and experience with programming languages, especially C++ and Python

  • you are experienced with FM Front Office pricing systems, in particular, Sophis, Murex or Summit is a plus

  • you have strong communication skills and fluency in English and

  • you present constructive attitude and pro-active team player

Optional

  • Experience in Agile / Scrum way of working.

  • Independent, creative and pro-active mind-set.

  • Being keen on innovation.

What we offer

  • Professional development

  • Certificates and knowledge transfer

  • Training budget

  • Access to the newest technologies

  • International projects

  • Stability of employment

  • Fully equipped workstations

  • Benefits

  • sharing the costs of sports activities

  • private medical care

  • sharing the costs of foreign language classes

  • sharing the costs of professional training & courses

  • life insurance

  • integration events

  • corporate gym

  • video games at work

  • parking space for employees

  • leisure zone

Information about squad:

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 team is part of Model Validation Trading Book Risks within the Model Risk Management department. Position is located in Poland within RiskHub in ING Tech Poland. At ING Tech Poland and ING group we follow the Agile approach and mindset. We use flexible frameworks like Scrum and Kanban at our everyday work. We are innovative and we trust people we work with. The broad autonomy our employees have, stimulates motivation and creativity what allows us to adapt to the changing requirements of business partners. Small units called squads are the core of our organization. They have clear vision of products, overcome challenges autonomously and based on team cooperation, work out the most flexible and effective way of working. Risk Hub Warsaw was created as a part of central risk team currently located in Amsterdam. In Warsaw we

are building following areas:

• Model Validation Trading Book Risks

• Model Validation Credit Risk

• Model Validation IRRBB Risk

• Model Risk Oversight & Data Science

• Data and Tools • Credit & ALM Risk Modelling

• IT for Modeling & Analytics

We are setting up a new team in the Model Validation Trading Book Risks (MVTB) area, an energetic, international team with various quantitative backgrounds located in Amsterdam and now expanding to Warsaw. We are responsible for validating market risk, counterparty credit risk and valuation models for trading books used by ING worldwide. By bringing in our expertise we assure that models are appropriate for intended use, compliant with internal policies and external regulations and its limitations are well understood by the organization. Our goal is to ensure a strong modelling landscape within ING.

We offer you:

  • A position where you will be empowered to have a true impact on ING’s future model landscape and contribute to further implementing our innovative Think Forward strategy.

  • An exposure to world-class models in the area of Trading Risk.

  • An opportunity to advise on a strategic level and influence the models used by the Bank globally

  • At ING we offer you a 40 hour contract.

  • A competitive salary tailored to your skills, competences, experience and performance.

  • A flexible work environment, with the possibility of working from home.

  • Time and support for personal development, including courses.

  • A challenging, interesting and evolving job/career.

  • An informal and positive working environment with highly qualified colleagues, who like to improve, value diversity and support each other.

  • An innovative, expanding working environment, also internationally, creating ample opportunities for further development.

  • A progressive way of working according to the Agile method, so that new ideas come to life incrementally.