Quantitative Analyst – Pricing Model Validations
ING
Warsaw, Poland
1 d. temu

We are looking for you if :

  • You have an academic MSc or PhD degree in a quantitative field, preferably (financial) mathematics, econometrics or physics,
  • You currently work with pricing models (e.g. bonds, IRS, vanilla options, exotic options)
  • You know market conventions, you know where to find required market data
  • English level - C1.

    You'll get extra points for :

  • You are currently working in pricing / market model validation team
  • You have a knowledge of FO systems eg. Sophis, Murex, Summit
  • Additional skills

  • You are coding in Python / C++
  • Working time per task :

  • Qualitative / quantitative analysis of pricing models - 60
  • Summarizing your results in a validation report - 20
  • Development of internal pricing library - 10
  • Alignment with model developers / traders - 10
  • Information about the squad :

    At ING Tech Poland and ING group we follow the Agile

    approach and mindset. We are innovative and we trust people we work with. RiskHub Warsaw was created as a part of central risk team currently located in Amsterdam.

    We are responsible for validating pricing 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.

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