Internship: Model Risk AVA for FX Derivatives

at ING
📍 Amsterdam, Netherlands
EUR 8,400 per year
INTERN
✅ Hybrid
✅ Visa Sponsorship

🕙 36 hours per week

SCRAPED

Used Tools & Technologies

Not specified

Required Skills & Competences ?

Python @ 3 Mathematics @ 3 Data Analysis @ 3 Compliance @ 3

Details

We are offering an internship focused on estimation of a model risk Additional Valuation Adjustment (AVA), accounting for uncertainty arising from multiple model choices and the absence of firm exit prices. The role is embedded in a team concentrating on trading pricing models, market risk, and counterparty credit risk within the Trading Book, inside the Integrated Risk Model Development department.

Responsibilities

  • Contribute to development of a mathematical framework for estimating model risk AVA for a specific foreign exchange (FX) derivative
  • Conduct comparative analysis of alternative pricing models used in the market
  • Identify a range of plausible valuations for the FX product
  • Formulate mathematical descriptions of suitable models
  • Implement these models in Python
  • Compute the model risk AVA using real market data

Requirements

  • Background in quantitative finance, mathematics, or a related field
  • Strong analytical and programming skills (Python preferred)
  • Interest in financial regulation and model risk
  • During the internship it is mandatory to be enrolled at a Dutch university (or an EU university for EU passport holders)

What you will 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

Rewards and benefits

  • Internship allowance of 700 EUR based on a 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, challenging work, and an informal working environment with innovative colleagues
  • Opportunity to build a network and potential progression into permanent roles or international talent programs

Additional information

  • The team is an international group of professionals focusing on Trading pricing models, Market Risk, and Counterparty Credit Risk
  • To apply, upload your CV and motivation letter via the Apply button or contact the recruiter attached to the advertisement