Specialist– Model Validation Market Risk (Trading)

ING Hubs Poland

ING Hubs Poland

Zajęcza 4

Śródmieście

Warszawa

Technologies we use

Expected

  • C++

  • Python

About the project

At ING Hubs Poland and ING group we follow the Agile approach and mindset. We are innovative and we trust people we work with. Risk Hub Warsaw was created as a part of central risk team currently located in Amsterdam.

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.

Your responsibilities

  • Alignment with model developers, auditors, ECB

  • Improving on our validation standards/frameworks/coding libraries

  • Qualitative/ Quantitative assessment of market risk models

  • Summarizing your conclusions in validation reports

Our requirements

  • You have an academic degree (MSc or PhD) in Econometrics, Mathematics, Statistics, Physics, Quantitative Financial Economics or another quantitative/numerical field,

  • You work on a daily basis with market risk models (e.g. VaR, sVaR, Expected Shortfall, FRTB) and/or counterparty credit risk model (e.g. SIMM, CVA, PFE calculation),

  • You know how to price financial instruments (e.g. bonds, IRS, options).

Optional

  • currently working as a model validator,

  • experience in Python coding.

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