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 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.
  • Candidates will work within an international team at ING Hubs Poland, collaborating closely with teams in Amsterdam on global projects.
  • The position focuses on the development of core ALM models including behavioral, replication, and stress testing models used by Risk Management units.

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

  • 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 behavioral prepayment models
  • knowledge of Monte Carlo simulation methods
  • experience with Git and Azure DevOps
  • familiarity with Agile Scrum methodology
  • data quality control and database experience

Key Requirements

  • BSc or MSc in econometrics, statistics, IT, mathematics, physics or similar
  • Sound knowledge of BPV, VaR, NII, and EVE measures

Work Rights

Not specified

Tailored Resume

Cover Letter