Model Risk Quant - London, United Kingdom - ING

ING

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Department Overview:

The Integrated Risk Model Development department 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 Risk Trading Quant team is a global 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.

Main Duties and Responsibilities of Role:
The team activities are quite varied - here are some of the main ones: - Develop the calculation methodologies for valuation adjustment models that account for the model risk uncertainty;

Develop Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model (e.g., for IRC and VaR models), Stress test;
Develop Counterparty Credit risk models;
Design model monitoring methodologies;
Perform the production system implementation checks by comparing to your own benchmark implementation;
Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.