Front Office Quant Developer

For ING, we are looking for an experienced Front Office Quant Developer with expertise in Counterparty Credit Risk (CCR) and/or XVA modelling and excellent analytical and programming skills.

You will become part of a large quantitative team responsible for the design, development, implementation and support of ING’s in-house pricing and risk models. This position combines quantitative modelling with hands-on software development in a Front Office environment.

Your role As a Front Office Quant Developer, you will work on sophisticated quantitative models and the technology required to bring these models into production. Your responsibilities cover the full model lifecycle, from initial model design and prototyping through to implementation in Front Office systems.

You will work closely with fellow quantitative specialists, IT model integration teams and other key stakeholders across the organisation. You will also provide quantitative support to risk managers and traders.

Your responsibilities

• Design and enhance Counterparty Credit Risk models used for Potential Future Exposure (PFE) and Exposure at Default (EAD) modelling.
• Work across the full model lifecycle, from model design and prototyping to implementation in Front Office systems.
• Contribute to the development and maintenance of ING’s high-performance computing platform in C++/CUDA for pricing and risk management.
• Collaborate with IT model integration teams, following the Scrum methodology for software development.
• Work closely with the wider quant team and other key stakeholders. Provide quantitative support to risk managers and traders. *

How to succeed We are looking for an enthusiastic quantitative professional with a strong academic background and a keen interest in both the modelling and programming aspects of the wider Counterparty Credit Risk domain.

You bring:

• A university degree, preferably a PhD or MSc, in Mathematics, Physics, Statistics/Econometrics, Computer Science or Engineering.
• At least 5 years of Quant experience in Counterparty Credit Risk models and/or Market Risk models.
• Experience with Monte Carlo modelling, risk factor modelling and derivatives pricing.
• Experience with at least one of the following asset classes or areas: Interest Rates, FX, Commodities, Credit, Equity or XVA.
• A strong background in implementing quantitative models in Python and/or C++ for Front Office purposes.
• Experience with professional software development practices, including Test-Driven Development (TDD), Continuous Integration and Continuous Delivery (CI/CD).
• Preferably experience with Azure, Git and Docker.
• Fluency and excellent writing skills in English. The ability to communicate effectively with both technical and non-technical business colleagues. *

• One-year contract, with extension most likely.
• 36-hour working week.
• Salary range of €6,500.60 - €7,023.83 gross per month, based on 36 hours per week and depending on experience.
• Holiday allowance, a 13th month and pension.
• Freelance (ZZP) is also possible, with an hourly rate of €95 - €108.