VP, Senior Quantitative Analyst, Trading Pricing Model Validation

7 months ago


Singapur, Singapore ING Full time

Trading Pricing Model Validation at ING is looking for a Senior Quant 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.

Coach junior colleagues, provide guidance during validation projects, review their work and reports.

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 enthusiastic colleague who has hands on experience with 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 5 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.

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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