Model Developer III (Senior)/ IRRBB
Risk Management | Professional | Warszawa | REQ-10077654
We are looking for you, if you have:
an academic degree (BSc or MSc) in econometrics, quantitative methods, statistics, IT, mathematics, physics or a similar quantitative field,
sound knowledge of interest rate risk measures (BPV, VaR, NII, EVE) and sources,
experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics, interest rate curves, stochastic interest rate models),
understanding banking and financial market products e.g. options, interest rate swaps,
sound knowledge of statistical modelling and econometric methods,
experience with statistical programming (e.g. Python, R).
You'll get extra points for:
experience in the development, implementation and/or validation of behavioural models such as prepayment models,
replication (hedging) models,
understanding banking and financial market products e.g. options, interest rate swaps,
knowledge of and experience with advanced statistical techniques such as, Monte Carlo, numerical methods, stochastic interest rates, etc.,
experience with databases, data modelling, data preparation and data quality control is considered a plus,
experience with Git, Azure DevOps,
understanding Scrum and Agile Way of Work.
Your responsibilities:
performing quantitative analysis,
improving model methodology,
model implementation and development of tools (Python),
assessing model performance - backtesting, monitoring, benchmarking,
technical reporting - model documentation.
Information about the Team:
The Financial Risk Model Development department is an international team of highly qualified professionals. Our expertise lies in the development and management of credit, market and operational risk models. 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 behavioural (e.g. prepayment), replication (hedging) and stress testing 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.
The role naming convention in the global ING job architecture will be “Model Developer III”.
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.
Do you have any questions?
If you have any questions about the details of this job offer, the form of employment or working at ING Hubs Poland, you can direct them to the e-mail address given below. We will certainly answer them!
Our benefits
Spread your wings with well thought out development plans.
Benefit from the knowledge of our experts during internal trainings or become a trainer yourself!
Develop the skills you care the most about, thanks to the high training budget.
Use internal and external learning platform (e.g. Udemy for Business).
Use the latest technologies and their capabilities in diverse projects.
Work on interesting and international projects that will enable you to meet people from all over the world.
Within your training budget, improve your language skills on a course tailored to your proficiency level.
Don't speak Polish? Take part in a free Polish language course.
Benefit from the support of certified coaches and mentors in achieving your professional goals and strengthening your potential.
Enjoy your additional days off that we offer to our employees (e.g. "Day for Wellbeing", voluntary day).
Take part in numerous activities supporting your wellbeing. Let's take care of your physical and mental health, and work-life balance together.
A healthy body, healthy mind! Find it out with our sports programmes.
Take care of yourself and your loved ones health with LUX MED private medical care.
Use the possibility to join group insurance, as well as BEST HELP insurance – insurance for the treatment of serious medical issues abroad.
Join the PPE programme and save additional money for your retirement.
Build relationships within the team and get to know the people you work with better during team integration meetings.
Share with us your feedback, both anonymous and direct. Use a dedicated tool adjusted to our needs that allows us to see and focus on the issues that matter most to our employees.
Do you ride a bike? So do we, that's why we provide everything you need - parking, a shower, and lockers.
Work on an employment contract.
Work in a hybrid mode. We like to meet in the office sometimes and drink coffee together. Plan your team’s work schedule with your manager and set dates suitable for you to come to the office.
Start your work between 7 and 9 AM, adjust it to yourself, not the other way around.
Feel comfortable in specially designed offices that helps teams to work more efficiently.
Use a company laptop and get an equivalent to buy a phone. We offer various laptop models, depending on the work you perform. After employment, you can also apply for an additional monitor for remote work.
Take a break in one of our chillout zones! Enjoy Xboxes, table tennis, billiards, table football, comfy chairs, etc.
Enjoy your annual bonus and allowance to the remuneration, along with extra awards based on the assessment of your work.
Do you know someone who you think would be a great fit for our company? You can get a cash bonus for each person you recommend if they are hired based on the contract of employment and go through the trial period positively.
Take advantage of the tax deduction in case of performing creative work.
Use a relocation subsidy or other support for your relocation.
Enjoy a gift for starting your job (Welcome Box), some national holidays, birth of a child (Baby Box) and more!
Every month you can count on subsidies for remote work, using public transport, meals in the office, and you can also benefit from our cafeteria platform.
Take advantage of discounts on studies, trainings and exams, language courses and a purchase of a new car.
