The Trading Risk Quants are an energetic international team of highly qualified professionals. Our area of expertise is FM Trading pricing models, market risk and counterparty credit risk in the Trading book. Our responsibility is to 1) develop Trading Risk methodologies and model improvements, such as e.g. RNIME methodologies, VaR scenarios, IRC, CCR models etc, across the different asset classes; 2) develop the calculation methodologies for valuation adjustment models for trading pricing models in order to account for the model risk uncertainty; and 3) provide quantitative support to risk managers and traders (in the risk modelling context). We are part of the Financial Risk Model Development department, which comprises of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models, with state of the art modelling methods, tooling and data-processing technologies. The position offers excellent opportunities to excel in what you do and to broaden your modelling and coding skills, as well as exposure to a dynamic and agile international working environment.
- Develop trading risk and valuation adjustments methodologies including documentation in English: 70%
- Write technical reports documenting the quantitative analysis performed in English: 10%
- Develop and maintain associated internal prototypes and team libraries: 10%
- Contribute to the set-up overarching methodologies: 10%
We are looking for you if:
- You have a PhD or a MSc in a quantitative field, preferably (financial) mathematics, econometrics or physics,
- You have working knowledge of risk models (Value at Risk, Risks not in Model, etc),
- You are aware of the most important market and regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, IBOR reform etc),
- You have experience with C++ and or Phyton,
- You have strong communication skills and fluency in English,
- You have a constructive attitude and are a pro-active team player,
- You have at least 3 years of experience in a similar role,
- You have an ability to identify problems, analyzing key information and making connections, in order to find appropriate solutions,
- You complete tasks and achieves results in an efficient, timely and high-quality manner, with a focus on execution and delivery of targets and KPIs.
Additionally, you will score for:
- Working knowledge of pricing systems, such as Murex, Sophis or Summit,
- CQF/FRM certificate,
- Quant experience and familiarity with derivatives pricing,
- Numerical methods and stochastic calculus,
- CV in English,
- Ito calculus,
- Stochastic differential equations,
- Change of measure,
- Numerical methods,
- Familiarity with regulatory requirements for the trading book exposures (FRTB, RNIME, AVA).
ING Hubs Poland
ING Hubs Poland
We are an integral part of ING, we value knowledge and relations, inspire and support each other at achieving our goals. Until recently, we were knows as ING Tech Poland. We decided to change our name to ING Hubs Poland to better reflect the wide range of our services, going beyond technology.
Thanks to the experience that combines IT with knowledge of the financial sector and the ability to build products and comprehensive services, we hold a unique position at ING. We use this potential to optimize processes and lead business units through the digital transformation.
We are one of global hubs providing technology, data and risk services for ING units all over the world! Our IT areas include IT security, remote, application and hosting services. Our operational services are provided by units such as RiskHub, CardsHub, Know Your Customer, Centralised People Services Hub and ComplianceHub. For almost 20 years we have been taking up challenges and proving that we are a trustworthy partner supporting ING in digital transformation.
Join ING Hubs Poland board and specialize in best technologies: Microsoft Azure, Google Cloud Platform, Java, .Net, Python, Linux, Kubernetes, Ansible, Gitlab, Angular, Tomcat, Kafka, Spark, Nessus, ElasticSearch, VMware and many more.
In our organization, the world of technology goes hand in hand with business and operational services.
What do you gain by working with us?
· You expand your knowledge thanks to cooperation with specialists and experts,
· You improve your qualifications thanks to the possibility of obtaining certificates,
· You have the opportunity to participate in internal trainings, where our internal trainers share their knowledge on solutions provided to our customers,
· You have a chance to work on international projects,
· You will find out what it means to have a well-tuned team and great atmosphere at work