Front Office Quant IV

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About the role
ING is looking for an experienced Front Office Quant Developer with a strong hands-on quantitative modelling background, particularly within Counterparty Credit Risk (CCR).

The emphasis of this role is on quantitative modelling rather than pure software development. You will join a large Quant team responsible for the design, development, implementation and support of ING's in-house pricing and risk models.

You will work across the full model lifecycle, from model design and prototyping through to implementation in Front Office systems. A key focus is the design and enhancement of Counterparty Credit Risk models used for Potential Future Exposure (PFE) and Exposure at Default (EAD).

The modelling environment includes Monte Carlo modelling, derivatives pricing, risk factor modelling and multiple asset classes. Relevant asset-class experience may include areas such as FX, Equity and SFT.

Alongside the modelling work, you will contribute to the quantitative implementation of models and work with the wider technology environment supporting pricing and risk management.

What will you do?
* Design and enhance Counterparty Credit Risk models used for PFE and EAD modelling.

• Work hands-on across the quantitative model lifecycle, from model design and prototyping through to implementation.
• Develop and work with Monte Carlo models, risk factor models and derivatives pricing models.
• Work with quantitative models across different asset classes.
• Implement quantitative models using Python and/or C++ for Front Office purposes.
• Contribute to the high-performance computing platform in C++/CUDA used for pricing and risk management.
• Collaborate with the wider Quant team and IT model integration teams.
• Provide quantitative support to risk managers, traders and other key stakeholders.

What are we looking for?
The key to this position is a strong hands-on modelling background. We are particularly interested in experienced Quants who have personally worked on the development and implementation of quantitative risk models.

You bring:
* A university degree in Mathematics, Physics, Statistics/Econometrics, Computer Science, Engineering or another relevant quantitative discipline; MSc or PhD is preferred.

• At least 5 years of Quant experience within Counterparty Credit Risk and/or Market Risk modelling.
• Strong hands-on quantitative modelling experience, with particular relevance to the CCR domain.
• Professional experience with Monte Carlo modelling, risk factor modelling and derivatives pricing.
• Experience with at least one relevant asset class or modelling area, such as Interest Rates, FX, Commodities, Credit, Equity or XVA.
• A strong background implementing quantitative models in Python and/or C++ for Front Office purposes.
• Experience with professional software-development practices including Test-Driven Development, Continuous Integration and Continuous Delivery.
• Fluent English and the ability to communicate effectively with both technical and non-technical stakeholders.

Preferred experience
Experience with Azure, Git and Docker is preferred.
Experience across multiple asset classes, including environments involving FX, Equity and SFT, is relevant to the work of the team.

Important profile distinction
This is a quantitative modelling role with a significant technical implementation component. The primary focus is not pure programming or software engineering.

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