Quantitative Expert– Model Validation Market Risk [rekrutacja online]
Miejsce pracy: Warszawa
We are looking for you if:
- You have an academic degree (MSc or PhD) in Econometrics, Mathematics, Statistisc, Physics, Quantitative Finance or another quantitative/numerical field,
- You have at least 6 years of work experience in modelling/validation of market risk (e.g. VaR, sVaR, Expected Shortfall, FRTB) and counterparty credit risk (e.g. SIMM, CVA, PFE calculation) models for trading book, including knowledge about the business and associated regulations,
- You know how to price financial instruments (e.g. bonds, IRS, options),
- You have proven experience in coaching others from content perspective,
- You have experience in advising Senior Management and managing stakeholders such as auditors and regulators on trading risk related topics model by model as well as potentially challenging overarching topics,
- You are an excellent team player, persistent, service oriented, eager to learn and have high quality standards,
- You would like to work in an international environment focused on creativity and modernity,
- You speak and write English on a very good level (C1 or above).
You'll get extra points for:
- Experience in Agile / Scrum way of working,
- Independent, creative and pro-active mind-set,
- Being keen on innovation.
Information about squad:
At ING Tech Poland and ING group we follow the Agile approach and mindset. We are innovative and we trust people we work with. Risk Hub Warsaw was created as a part of central risk team currently located in Amsterdam. We are responsible for validating market risk, counterparty credit risk and valuation models for trading books used by ING worldwide. By bringing in our expertise we assure that models are appropriate for intended use, compliant with internal policies and external regulations and its limitations are well understood by the organization. Our goal is to ensure a strong modelling landscape within ING.
- contract of employment
type of contract - 7:00 - 9:00 - 15:00 - 17:00
work hours - Zajęcza 4, Warszawa
this is the location of our office
Scope of duties:
30%- Summarizing your conclusions in well-written validation reports
30%- Performing high quality validations of marketrisk models
20%- Coaching and supervising the validators from acontent perspective implementation
10%- Setting & improving on our validation standards/frameworks/coding libraries
10%- Coaching and supervising the validators from acontent perspective
Your development
- professional development
- certificates and knowledge development
- training budget
- access to the newest technologies
- international projects
- free English courses
- provate medical care
- 50% funded Multisport Card
- bicycle parking
- chillout rooms
- integration events and Stay Fit program
- stability of employement
- fully equipped workstations
- kitchen