Director, Senior Quantitative Analyst, Trading Pricing Model Validation
1 week ago
ING Wholesale Banking in Singapore
We began operating in Singapore in 1987 where we host the regional Asia Pacific headquarters. With over 300 financial experts, we are the largest wholesale banking branch in Asia. ING stands out in the Asia Pacific region because we go a step further for our customers. We look at things from the client’s perspective which allows us to construct tailor-made solutions to fit the needs of every company we serve. This mentality underpins all our client relations and has produced various prestigious awards.
Trading Pricing Model Validation at ING is looking for a Senior Quant at director level with experience in derivative pricing models
Trading Pricing Model Validation is an international team of highly qualified professionals. The team is responsible for validating derivative pricing models used by ING Financial Markets and Group Treasury. We are a global cross-asset team covering all traded products in all trading and treasury locations of ING around the world. The position is based in Singapore. The team is part of Model Validation Trading Book within the Model Risk Management department.
Roles and responsibilities
- Perform validation of pricing models, where you critically assess 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.
- Manage and supervise junior colleagues in SGP team, provide guidance during validation projects, review their work and reports.
- Be a point of contact for the local front office and risk management on the questions of pricing model validations.
- Develop and maintain the internal programming library in C++ and Python, which is used for testing the model implementation, soundness of model methodology and model performance.
- Write high quality validation reports, discuss your findings with different senior stakeholders in the bank including front office quants, traders, risk modellers, risk managers and senior management. Present your reports at the corresponding committees.
Who are we looking for
We are looking for an experienced colleague who has hands on skills for analyzing pricing models, investigating alternative approaches, coding sophisticated models, and writing high quality technical reports. You have:
- Quantitative background. You have a PhD or Master degree in quant finance, econometrics, mathematics, physics, or a similar field.
- At least 10 years of direct experience in model development or validation of the derivative pricing models in Front Office or Risk.
- Good knowledge of derivative pricing, financial markets products and financial mathematics.
- Knowledge and experience in at least one of the following asset classes: Interest Rate, Inflation, FX, Credit, Equity, Commodities.
- Ability to lead a team of quants and shape the validation strategy together with the global asset lead.
- Solid programming experience in C++ and Python.
- Good English writing skills. You are accurate and skilled at drafting reports.
- Strong verbal communication skills to present your work and be able to defend your standpoint in plain language.
- Constructive attitude, pro-active team player, self-driven and can work independently.
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Singapore ING Bank N.V. Full timeING Wholesale Banking in Singapore We began operating in Singapore in 1987 where we host the regional Asia Pacific headquarters. With over 300 financial experts, we are the largest wholesale banking branch in Asia. ING stands out in the Asia Pacific region because we go a step further for our customers. We look at things from the client’s perspective which...
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