Irrbb Senior Model Developer

ING Hubs Poland

Warsaw, Poland
13,000 - 21,000 pln gross; not specified; not spec...
Interest rate risk measures bpv var nii eve
Modelling 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.
  • Candidates will work within an international team at the Risk Hub Warsaw collaborating with colleagues in Amsterdam on global projects.
  • The position offers the opportunity to gain experience in state-of-the-art ALM modelling topics including behavioral and stress testing models.

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 interest rate risk in banking book
  • Statistical programming Python or R
  • Understanding banking financial market products
  • Academic degree in quantitative field

Nice-to-have

  • Experience with Monte Carlo numerical methods
  • Knowledge of Git Azure DevOps Agile Scrum
  • Experience with prepayment replication hedging models
  • Database data modelling and quality control skills
  • Advanced stochastic interest rate techniques

Key Requirements

  • BSc or MSc in econometrics statistics mathematics physics or IT
  • Sound knowledge of statistical modelling and econometric methods
  • Experience in model implementation backtesting and monitoring

Work Rights

Not specified

Tailored Resume

Cover Letter