Internship: Model Risk AVA for FX Derivatives

We are offering an exciting internship opportunity focused on estimation of a model risk Additional Valuation Adjustment (AVA), accounting for the uncertainty arising from multiple model choices and the absence of firm exit prices.

The team:

You’ll be part of an energetic and diverse international team of highly qualified professionals. Our focus is on Trading pricing models, Market Risk, and Counterparty Credit Risk within the Trading Book. We sit within the Integrated Risk Model Development department, which brings together experts across Trading Risk, Credit Risk, and Market Risk in IRRBB and Balance Sheet Risk models.

Roles and Responsibilities:
The intern will contribute to the development of a mathematical framework for estimating model risk AVA for a specific foreign exchange (FX) derivative. Key responsibilities include:

• Conducting a comparative analysis of alternative pricing models used in the market
• Identifying a range of plausible valuations for this FX product
• Formulating mathematical descriptions of suitable models
• Implementing these models in Python
• Computing the model risk AVA using real market data

What You’ll Gain:

• Hands-on experience in quantitative finance and regulatory risk modelling
• Exposure to valuation techniques and model calibration
• Practical skills in Python programming and data analysis
• Insight into regulatory compliance and AVA methodology

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.

• Background in quantitative finance, mathematics, or a related field
• Strong analytical and programming skills (Python preferred)
• Interest in financial regulation and model risk

Rewards and benefits

This is a great opportunity to train with highly skilled people who are experts in their field. You’ll do a lot and learn a lot – not only about your specialist area and the bank, but also about yourself and whether this type of environment is right for you.

You’ll also benefit from:

• Internship allowance of 700 EUR based on 36 hours work week
• Your own work laptop
• 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

During the duration of your internship at ING, it is mandatory to be enrolled at a Dutch university (or EU-university for EU passport holders).

Questions?

Contact the recruiter attached to the advertisement. Want to apply directly? Please upload your CV and motivation letter by clicking the ‘Apply’ button.

About our internships

Every year, more than 350 students join our internship program. While there are no guarantees about your future, many of our former interns move into a permanent role or onto our International Talent Programme (traineeship).

Whatever happens, an internship at ING is the ideal opportunity to meet a wide variety of people, to build up your own network, and to learn about many different aspects of banking – put simply, it’s a great start to your career.