Senior Model Validator XVA models

Pricing Model Validation at ING is looking for a senior Quant with experience in XVA modelling

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 position is open in Amsterdam. The team is part of Model Validation Trading Book Risks within the Model Risk Management department.

What you’ll do

• 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 judgement on the quality of the model.
• Supervise junior quants, review their work and reports.
• Develop and maintain the programming library, which is used for analysis of the models and for asserting of the accuracy of the implementation.
• 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.
• Perform ad-hoc analyses for acute business needs.

Who are we looking for

We are looking for a colleague who can strengthen our XVA validation activities.

You have:

• At least three years of experience in XVA models with solid knowledge of all flavors of XVA: CVA, FVA, ColVA, MVA, and so on.
• Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or similar field.
• Good knowledge of financial mathematics. You know very well the theory of stochastic calculus and derivative pricing and feel at home with the modern features like multi-curve pricing of IR derivatives and IBOR reform.  
• Solid programming experience in C++ and Python and bindings between them.
• Good English writing skills. You are accurate and skilled at drafting reports.
• Strong verbal communication skills. You present your work to your model validation colleagues, front office quants, traders, senior management, and are able to defend your stand point in plain language.
• Constructive attitude, pro-active team player, but can work independently on your own task.

What we offer

We offer a 40 or 36 hour contract. We care about an adequate work–life balance and we empower our colleagues to realize their ambitions: “Do your thing.” You can find the employment conditions here. In short, we offer:

• Challenging, interesting and evolving job career.
• Competitive salary tailored to your skills, competences, experience and performance.
• Flexible work environment, with the possibility of working from home.
• Choice of transportation allowances.
• 27 vacation days with a 40-hour contract, or 24 days with a 36-hour week.
• Pension scheme.
• 13th-month salary.
• Individual Savings Contribution (BIS), 3.5% of your gross annual salary.
• 8% holiday payment.
• Progressive way of working according to the Agile method, so that new ideas come to life steadily.
• Friendly working environment with innovative colleagues who share your passion and drive for the best
• Time and support for personal development, including courses.