IRRBB Senior Model Developer

Responsibilities

• model implementation and development of tools (Python),
• performing quantitative analysis,
• improving model methodology,
• assessing model performance - backtesting, monitoring, benchmarking,
• technical reporting - model documentation.
• Information about the Team:
• 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.
• The role naming convention in the global ING job architecture will be "Model Developer IV".
• The financial ranges specified in the announcement are adjusted and may differ from the range specified in the remuneration regulations.

Additional Information

ING Hubs Poland is hiring! The expected salary for this position: 13 000 - 22 000 PLN gross. The financial ranges specified in the announcement are adjusted and may differ from the range specified in the remuneration regulations. We are looking for you, if you have: an academic degree (BSc or MSc) in econometrics, quantitative methods, statistics, IT, 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, implementation and/or validation of behavioural models such as prepayment models, replication (hedging) models, understanding banking and financial market products e.g. options, interest rate swaps, 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 is considered a plus, experience with Git, Azure DevOps, understanding Scrum and Agile Way of Work.

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