ING Bank N.V.
Front Office Quant IV
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A technical role within a specialised Front Office Quant team at a leading global bank focused on counterparty credit risk modelling and XVA pricing. The team owns the end-to-end lifecycle of in-house pricing and risk models used in Front Office systems, from initial model design and prototyping to implementation and ongoing support.
Assignment
In this position, you contribute to the development and enhancement of Counterparty Credit Risk (CCR) and XVA models, with a primary focus on models used to calculate Potential Future Exposure (PFE) and Exposure at Default (EAD). You also support the creation and evolution of a high-performance computing platform that enables efficient pricing and risk management. Working closely with model integration teams, traders, risk managers, and other quantitative specialists, you help deliver robust quantitative solutions using Scrum-based software development practices. The role combines quantitative modelling expertise with software engineering to ensure models can be implemented, maintained, and supported in production-like Front Office environments.
Responsibilities
- Design and enhance Counterparty Credit Risk models for PFE and EAD calculations.
- Develop, implement, and maintain pricing and risk models across the model lifecycle.
- Contribute to the development and maintenance of a high-performance computing platform for pricing and risk management, including performance-focused C++/CUDA components.
- Collaborate with Front Office model integration teams to translate quantitative models into usable systems.
- Develop and deliver software using Scrum and recognised software engineering practices.
- Partner with the wider Quant function and relevant business stakeholders to ensure solutions meet operational needs.
- Provide quantitative support to traders and risk managers.
Eisen
- Minimum of 5 years' experience as a Quant within Counterparty Credit Risk and/or Market Risk modelling.
- Hands-on experience with Monte Carlo modelling, risk factor modelling and derivatives pricing.
- Experience with at least one of the following asset classes: Interest Rates, FX, Commodities, Credit, Equity or XVA.
- Strong experience implementing quantitative models in Python and/or C++ for Front Office environments.
- University degree (preferably MSc or PhD) in Mathematics, Physics, Statistics, Econometrics, Computer Science or Engineering.
- Experience with professional software development practices, including Test-driven Development, Continuous Integration and Continuous Delivery.
- Excellent verbal and written communication skills in English.
Wensen
- Experience with Azure, Git and Docker.