Dam pracę Warszawa
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Etat ALM Model Development - Senior Specialist [rekrutacja online]

Firma: ING Tech Poland miejsce pracy: Warszawa

ALM Model Development - Senior Specialist [rekrutacja online]
Miejsce pracy: Warszawa
We are looking for you if:
  • You have an academic degree (BSc or MSc) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field,
  • You have sound knowledge of interest rate risk measures and sources,
  • You have experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics),
  • You have sound knowledge of statistical modelling and econometric methods,
  • You have experience with statistical programming (e.g. Python, R),
  • You have ability to identify problems, analyzing key information and making connections, in order to find appropriate solutions,
  • You have an ability to clearly and succinctly express ideas, facts and opinions and you are able to express them fluently also in English,
  • You can complete tasks and achieves results in an efficient, timely and high-quality manner, with a focus on execution and delivery of targets and KPIs.
You'll get extra points for:
  • Experience in the development and/or validation of behavior models such as prepayment models
  • Replication (hedging) models,
  • Understanding banking and financial market products e.g. options,
  • Knowledge of and experience with advanced statistical techniques such as, Monte Carlo, Bayesian statistics, numerical methods, stochastic interest rates, etc.,
  • Experience with databases, data modelling, data preparation and data quality control is considered a plus,
  • Professional certification FRM/PRM/CFA,
  • Familiarity of regulatory requirements with respect to IRRBB,
  • Familiarity of model risk and model lifecycle,
  • Experience with Python programming,
  • Working knowledge of Git,
  • Familiarity with stochastic interest rate models (Vasicek, CIR, Hull-White, LMM),
  • Familiarity with Jarrow-van Deventer Framework.
Information about squad:
 
The Financial Risk Model Development department is an international team of 80 highly qualified
professionals. Our expertise lies in the development and management of credit risk, ALM and operational risk models. To further strengthen and develop the modelling capabilities, ING decided to setup Risk Hub Warsaw. The Risk Hub Warsaw model development team will be performing model development activities for models throughout ING, working closely together on international projects with the teams in Amsterdam. The developed ALM models are core to the success of ING and include behavior models (e.g. prepayment models) and replication (hedging) models. The models are used by all local Risk Management units within ING. As a specialist in ALM modelling, you will be given the opportunity to gain further experience in ALM modelling topics, using state-of-the-art modelling methods, tooling and data processing technologies.
  • contract of employment
    type of contract
  • Start 7:00 - 9:00 End 15:00 - 17:00
    work hours
  • Zajęcza 4, Warszawa
    this is the location of our office
Scope of duties:
25% - Improving model development methodology
25%- Developing, improving, analysing and documenting ALM models
25% - Advising management team about modelling topics
25%- Model monitoring, back testing and benchmarking
Your development
  • professional development
  • certificates and knowledge development
  • training budget
  • access to the newest technologies
  • international projects
  • free English courses
Your health, well-being and family
  • provate medical care
  • 50% funded Multisport Card
  • bicycle parking
  • chillout rooms
  • integration events and Stay Fit program
Working conditiions
  • stability of employement
  • fully equipped workstations
  • kitchen
We kindly inform you that we will get in touch only with the chosen candidates.

If you agree for processing your data for future recruitment offers, we will keep the data for a year.

All information concerning the way we process personal data can be found here here.


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Data dodania: 04-11-2021
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