Irrbb Senior Model Developer

ING Hubs Poland

Warsaw, Poland
13,000 - 21,000 pln gross; not specified; not spec...
Academic degree in quantitative field
Knowledge of interest rate risk measures
Experience in banking book interest rate modeling
The role involves developing and implementing tools for interest rate risk modeling within the ING Risk Hub Warsaw team

Job Summary

  • The role involves developing and implementing tools for interest rate risk modeling within the ING Risk Hub Warsaw team.
  • Candidates will perform quantitative analysis, backtesting, and monitoring of behavioral and replication models used across ING.
  • This position offers the opportunity to work on international projects with teams in Amsterdam using state-of-the-art modeling methods.

Matching Summary

The role involves developing and implementing tools for interest rate risk modeling within the ING Risk Hub Warsaw team.

Salary

13000 - 21000 PLN gross; Not specified; Not specified

Skills & Requirements

Must-have

  • Academic degree in quantitative field
  • Knowledge of interest rate risk measures
  • Experience in banking book interest rate modeling
  • Understanding of financial market products
  • Statistical programming skills in Python or R

Nice-to-have

  • Experience with prepayment and hedging models
  • Advanced statistical techniques like Monte Carlo
  • Database and data quality control experience
  • Familiarity with Git and Azure DevOps
  • Understanding of Scrum and Agile methodologies

Key Requirements

  • BSc or MSc in econometrics, statistics, IT, mathematics, physics
  • Sound knowledge of BPV, VaR, NII, and EVE measures
  • Experience with stochastic interest rate models and curves

Work Rights

Not specified

Tailored Resume

Cover Letter