Irrbb Senior Model Developer

23

Warsaw, Poland
13,000 - 21,000 pln gross; not specified; not spec...
Interest rate risk measures bpv var nii eve
Modelling of interest rate risk in banking book
Statistical programming python or r
The role involves implementing and developing tools using Python to perform quantitative analysis on interest rate risk

Job Summary

  • The role involves implementing and developing tools using Python to perform quantitative analysis on interest rate risk.
  • You will work within an international team at ING Hubs Poland, collaborating closely with colleagues in Amsterdam on global projects.
  • This position offers the opportunity to use state-of-the-art modelling methods and tooling for core ALM models including stress testing.

Matching Summary

The role involves implementing and developing tools using Python to perform quantitative analysis on interest rate risk.

Salary

13000 - 21000 PLN gross; Not specified; Not specified

Skills & Requirements

Must-have

  • Interest rate risk measures BPV VaR NII EVE
  • Modelling of interest rate risk in banking book
  • Statistical programming Python or R
  • Understanding of options and interest rate swaps
  • Academic degree in quantitative field

Nice-to-have

  • Experience with prepayment and replication models
  • Knowledge of Monte Carlo and numerical methods
  • Experience with Git Azure DevOps and Agile
  • Database modelling and data quality control skills
  • Stochastic interest rate model expertise

Key Requirements

  • BSc or MSc in econometrics, statistics, IT, mathematics, physics
  • Sound knowledge of interest rate risk sources and measures
  • Experience with statistical modelling and econometric methods

Work Rights

Not specified

Tailored Resume

Cover Letter