Junior Trading Quantitative Analyst

Job description

Junior Trading Quantitative Analyst

Vacancy: Junior Trading Quantitative Analyst

Organizational context :

Financial Institutions and Financial Markets (FI/FM) Risk combines responsibilities of the counterparty credit risk and the market risk trading departments within ING's Credit & Trading Risk, as it is responsible for providing an integrated credit and trading view on the FI/FM portfolio.

The FI/FM Quants team is a global team within the FI/FM Risk organization that provides quantitative expertise required to model and risk manage complex derivatives. The main tasks of the team are in the area of pricing model validation, risk modelling and methodologies, and quantitative development.

The FI/FM Quants team consists of about 20 professionals that operate worldwide in key ING trading locations. ING is looking to expand by hiring a Junior Trading Quantitative Analysts who will be a part of this specialist team in Amsterdam.

Job description

- Act as a junior specialist within the FI/FM Quants team regarding pricing model validation in product areas such as equity derivatives, fixed income derivatives, foreign exchange derivatives, credit derivatives, and CVA.

- Co-operate with counterpart quantitative analysts who develop the pricing models that our department validates.

- Help in the development of benchmark models that can be used for model validation.

- Maintain tools, programming libraries and test environments that are set up to support the model validation process and the risk methods in the trading risk systems.

- Help in the development of credit and trading exposure models and risk methodologies.

- Perform quantitative analysis on market data, trade requests and risk functionality (such as VaR or sensitivity reports) to support Risk Managers.

- Write validation reports providing a quantitative assessment and documentation of the tests performed.

- Give general quantitative support to risk managers in their specialist area.

We are looking for

Enthusiastic academics with excellent analytical skills. You have a keen interest in quantitative finance and risk modeling. Furthermore, you have

- A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering);

- Interest and knowledge of financial mathematics, in particular option pricing and stochastic calculus;

- Familiarity with financial markets, including recent, most important developments;

- Knowledge of C++ and/or quantitative software packages (Matlab, Mathematica) is a plus;

- Fluency and excellent writing skills in English.

This is a full-time position, 40 hours per week. The job grade will be 9 or 10 depending on knowledge and experience. For more information, please contact Dirk.Scevenels via