Model Developer VI @ ING

ING is looking for a Model Developer VI with XVA and CCR expertise for the Risk Trading Quant Team in the Integrated Risk Model Development department.The position offers excellent opportunities to excel in what you do and to broaden your leadership, modelling and coding skills, as well as exposure to a dynamic and agile international working environment with learning opportunities in trading risk models areas.Does it sound interesting? Please read on!The teamWe are an energetic international team of highly qualified professionals.Our area of expertise is Trading risk models, Valuation Risk, and Counterparty credit risk in the Trading book.We are part of the Integrated Risk Model Development department, which comprises of multiple teams of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models. The Trading Risk Quants team is focused on Financial Markets modelling with sub-teams specialised on various asset classes: IR/INF, EQ/COM, FX/CR and XVA/CCR. The XVA/CCR team is looking at modelling related to XVA pricing and CCR risk.Roles and responsibilitiesThe team is responsible for designing the methodology of a wide range of models used in the Trading book. The design work relies heavily on the team benchmark libraries, which are used for analysis, exploration of alternative models and as implementation prototypes.You will:Design Counterparty Credit risk models (PFE/EAD modelling and Backtesting procedures) and implement them in the benchmark library;Perform the production system implementation checks by comparing to the benchmark implementation or implement models directly in the systems;Design valuation adjustment models accounting for model risk uncertainty in XVA ;Implement in production system the XVA model risk valuation adjustments;Design and implement associated model monitoring methodologies;Develop Trading Risk methodologies, such as VaR scenarios specification and Risk not in model;Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the…

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