Irrbb Senior Model Developer

ING

Warsaw, Poland
13,000 - 21,000 pln gross; not specified; not spec...
Academic degree in quantitative field
Knowledge of interest rate risk measures
Experience with stochastic interest rate models
The role involves developing and implementing tools using Python to model interest rate risk in the banking book

Job Summary

  • The role involves developing and implementing tools using Python to model interest rate risk in the banking book.
  • Candidates will perform quantitative analysis, backtesting, and monitoring while collaborating with international teams in Warsaw and Amsterdam.
  • This position offers the opportunity to work on state-of-the-art ALM models including behavioral, replication, and stress testing frameworks.

Matching Summary

The role involves developing and implementing tools using Python to model interest rate risk in the banking book.

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 with stochastic interest rate models
  • Understanding of banking financial products
  • Statistical programming skills in Python or R

Nice-to-have

  • Experience with behavioral prepayment models
  • Knowledge of Monte Carlo simulation methods
  • Familiarity with Git and Azure DevOps
  • Experience with Agile Scrum methodologies
  • Database modeling and data quality control

Key Requirements

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

Work Rights

Not specified

Tailored Resume

Cover Letter