Expert Model Developer
Risk Management | Professional | Warszawa | 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
Your responsibilities:
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.
We kindly inform you that we will get in touch only with the chosen candidates. If you agree for processing your data for future recruitment offers, we will keep the data for a year.
All information concerning the way we process personal data can be found here.
Do you have any questions?
If you have any questions about the details of this job offer, the form of employment or working at ING Hubs Poland, you can direct them to the e-mail address given below. We will certainly answer them!
Our benefits
Well-thought-out development plans will help you spread your wings.
Gain from the knowledge of our experts and take the opportunity to obtain certificates.
Develop the skills you care the most about, thanks to the high training budget.
Use the latest technologies and their capabilities in diverse projects.
Work on interesting and international projects that will enable you to meet people from all over the world.
Improve your language skills on a course tailored to your proficiency level.
Take care of yourself and your loved ones health with LUX MED private medical care.
A healthy body, healthy mind! Find it out with our sports programs.
Do you ride a bike? So do we, that's why we provide everything you need - a parking, shower and lockers.
Take a break in one of our chillout zones! Enjoy Xboxes, table tennis, billiards, table football, comfy chairs, etc.
Spend time with family and friends and have fun at company events.
In our company, we focus on feedback from each employee, both anonymous and direct.
After the trial period, we offer an employment contract.
On the first day of your employment, you will be provided with all essential equipment, i.e. work phone, laptop, an additional monitor and your own desk.
At ING Hubs Poland you can receive an annual bonus – its amount is based on the assessment of your work.
Start work between 7.00 and 9.00 and adjust the work to yourself, not the other way around.
We come to the office when our presence is conducive to cooperation.
Use the fully equipped kitchen that you will find on each floor. Enjoy a cup of delicious coffee or tea.
