Quantitative Analyst

1 dzień temu

Warszawa, Polska ING Hubs Poland Pełny etat
Job Title: Quantitative Analyst

We are seeking a highly skilled Quantitative Analyst to join our team at ING Hubs Poland. As a Quantitative Analyst, you will be responsible for performing validation of pricing models, leading validation projects, and communicating with model stakeholders.

Key Responsibilities:
  • Perform validation of pricing models, where you critically look at the proposed model, analyze model suitability and its shortcomings, quantify missing risk, develop challenger models, and make final judgement on the quality of the model.
  • Lead the relevant validation projects, supervise and coach junior quants, and review their work and reports.
  • Communicate and align with the model stakeholders – model owners, developers, and implementors.
  • Develop and maintain tools for automation of validation process such as the programming library, which is used for analysis of the models and for asserting of the accuracy of the implementation.
  • Write high quality validation reports, discuss your findings with colleagues, front office quants and traders, and higher management. Present your reports at the corresponding committees.
  • Perform ad-hoc analyses for acute business needs.
  • Learn about the latest developments in pricing models domain.
Requirements:
  • Quantitative background (MSc or PhD degree) in e.g., Econometrics, Quantitative Methods, Quantitative Finance, Mathematics, Statistics, Physics, or similar field.
  • Good knowledge of financial engineering, statistics, mathematics, econometrics, probability theory and/or stochastic calculus.
  • Good knowledge of linear and non-linear financial derivatives (e.g., forward, swaps, swaptions), fixed income products (e.g., bonds), investment products (e.g., MBS, ABS) and their pricing using stochastic models.
  • At least 3 years of experience in quantitative model validation or model development with solid knowledge in the area of Pricing, Trading Risk or generic Market Risk.
  • Ability to clearly, concisely, and confidently express complex ideas, facts, and opinions. You can communicate them fluently, logically, and structurally in the English language, both in speaking and writing, and defend them in front of your validation colleagues, model stakeholders, and senior management.
  • Ability to identify hidden problems, analyze key information, and form logical connections to find appropriate solutions.
  • Ability to work well independently on your tasks as well as with others within the team to reach a common goal.
  • Skills and experience in coaching others from content perspective and in giving specific and constructive feedback.
  • Interest in your team's success as much as in your own.
Preferred Qualifications:
  • Research mindset.
  • Knowledge of Python and/or C++.
  • Certificates: FRM, PRM or CQF.

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