Expert Model Developer
Employee | Risk Management | Professional | Poland | Warszawa | 2023-11-20 | REQ-10061256
We are looking for you, if have:
An academic degree (MSc or PhD) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field,
Sound knowledge of interest rate risk measures (BPV, VaR, NII, EVE) and sources
Experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics, interest rate curves, stochastic interest rate models)
Understanding banking and financial market products e.g. options, interest rate swaps
Sound knowledge of statistical modelling and econometric methods,
Experience with statistical programming (e.g. Python, R)
You'll get extra points for:
Experience in the development and/or validation of behavioural models such as prepayment models
Replication (hedging) models
Knowledge of and experience with advanced statistical techniques such as, Monte Carlo, numerical methods, stochastic interest rates, etc.
Experience with databases, data modelling, data preparation and data quality control
Experience with Azure Pipelines & Repos
Design patterns, SOLID principles
Leading quantitative analysis
Contributing to project planning
Improving model methodology
Model implementation and development of tools (Python)
Assessing model performance - backtesting, monitoring, benchmarking
Technical reporting - model documentation
Information about the squad:
The Financial Risk Model Development department is an international team of highly qualified professionals. Our expertise lies in the development and management of credit, market and operational risk models. The Risk Hub Warsaw model development team will be performing model development activities for models throughout ING, working closely together on international projects with the teams in Amsterdam.
The developed ALM models are core to the success of ING and include behavioural (e.g. prepayment), replication (hedging) and stress testing models. The models are used by all local Risk Management units within ING.
As a specialist in ALM modelling, you will be given the opportunity to gain further experience in ALM modelling topics, using state-of-the-art modelling methods, tooling and data processing technologies.