Risk Model Developer

Are you looking for a job to broaden your modelling and coding skills? Are you experienced with models in pricing? Then we might be looking for you! Currently we are looking for several people to join our team, so please read on!

Team

We are an energetic international team of highly qualified professionals. Our area of expertise is 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 of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models, with state-of-the-art modelling methods, tooling, and data-processing technologies. 

The position offers excellent opportunities to excel in what you do as well as exposure to a dynamic and agile international working environment.

Roles and responsibilities

The team activities are quite varied – here are some of the main ones:

• Develop the calculation methodologies for valuation adjustment models such that account e.g., for the model risk uncertainty or concentration of positions;

• Develop Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model, historical market data models Stress test and Economic capital models;

• Develop Counterparty Credit risk models;

• Design model monitoring methodologies;

• Perform the production system implementation checks by comparing to your own benchmark implementation or implement models directly in the systems;

• Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.

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.

You have:

• A PhD or a MSc in a quantitative field, e.g., mathematics, physics, statistics/ econometrics etc;

•  3 to 7 years of Quant experience in the following areas:

  • Market Risk models and/or Counterparty Credit Risk models and the implementation of such models in Python or C++;

  • Derivatives pricing in at least on of the following asset classes: Interest Rate & Inflation, FX, Credit, Equity, Commodities and/or XVA, including model implementation in Python or C++;

  • Familiarity with the most important regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc);

• Strong communication skills and fluency in English; and

• Constructive attitude and pro-active team player.

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://careers.ing.com/en/benefits-NL 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

We are looking forward to welcome your application, please note a motivation letter is preferred!

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.