Model Developer XVA & CCR

Details

ING is looking for a Model Developer with XVA and CCR expertise for the Risk Trading Quant Team in the Integrated Risk Model Development department.

The position offers excellent opportunities to excel in what you do and to broaden your modelling and coding skills, as well as exposure to a dynamic and agile international working environment with learning opportunities in trading risk models areas.

The team

We are an energetic international team of highly qualified professionals. Our area of expertise is Trading risk models, Valuation Risk, and Counterparty credit risk in the Trading book. We are part of the Integrated Risk Model Development department, which comprises multiple teams of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models. The Trading Risk Quants team is focused on Financial Markets modelling with sub-teams specialised on various asset classes: IR/INF, EQ/COM, FX/CR and XVA/CCR. The XVA/CCR team is looking at modelling related to XVA pricing and CCR risk.

Responsibilities

The team is responsible for designing the methodology of a wide range of models used in the Trading book. The design work relies heavily on the team benchmark libraries, which are used for analysis, exploration of alternative models and as implementation prototypes. You will:

• Design Counterparty Credit risk models (PFE/EAD modelling and Backtesting procedures) and implement them in the benchmark library;
• Perform the production system implementation checks by comparing to the benchmark implementation or implement models directly in the systems;
• Design valuation adjustment models accounting for model risk uncertainty in XVA;
• Implement in production system the XVA model risk valuation adjustments;
• Design and implement associated model monitoring methodologies;
• Develop Trading Risk methodologies, such as VaR scenarios specification and Risk not in model;
• 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.

Requirements

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 (MSc with additional relevant experience will also be considered) in a quantitative field, e.g., mathematics, physics, statistics/econometrics etc;
• At least 5 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 and/or C++;
  • Derivatives pricing in at least one 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);
  • Familiarity with production systems is a plus.
• Strong communication skills and fluency in English;
• Constructive attitude and pro-active team player.

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 http://careers.ing.com/en/benefits-NL
The benefits of working with us at ING include:

• A salary tailored to your qualities and experience.
• A salary indication 4367 – 7088 EUR based on 36 hours per week.
• 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.