Model Developer

Znalezione w: beBee S PL - 2 tygodni temu

Warszawa, Polska ING Pełny etat

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,have sound knowledge of interest rate risk measures and sources,have experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics),have sound knowledge of statistical modelling and econometric methods,have experience with statistical programming (e.g. Python, R),have ability to identify problems, analyzing key information and making connections, in order to find appropriate solutions,have an ability to clearly and succinctly express ideas, facts and opinions and you are able to express them fluently also in English,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.


English level - B2.


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.


Your responsibilities:

improving model development methodology,developing, improving, analysing and documenting ALM models,advising management team about modelling topics,model monitoring, backtesting and benchmarking.


Information about the 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.

The role naming convention in the global ING job architecture will be “Model Developer I”.

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