Irrbb Senior Model Developer

224

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 interest rate risk modelling
The role involves developing and implementing tools using Python for interest rate risk management within the ING Risk Hub

Job Summary

  • The role involves developing and implementing tools using Python for interest rate risk management within the ING Risk Hub.
  • Candidates will perform quantitative analysis, backtesting, and monitoring of core ALM models including replication and stress testing.
  • This position offers an opportunity to work on international projects with teams in Amsterdam and Warsaw using state-of-the-art modelling methods.

Matching Summary

The role involves developing and implementing tools using Python for interest rate risk management within the ING Risk Hub.

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 interest rate risk modelling
  • Understanding of banking financial products
  • Statistical programming skills in Python or R

Nice-to-have

  • Experience with prepayment behavioural models
  • Knowledge of Monte Carlo numerical methods
  • Experience with Git and Azure DevOps
  • Familiarity with Scrum Agile methodologies
  • Database data modelling experience

Key Requirements

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

Work Rights

Not specified

Tailored Resume

Cover Letter