Quantitative Analyst

2 tygodni temu

Warszawa, Mazovia, Polska ING Pełny etat

Key Responsibilities:

We are seeking a highly skilled Quantitative Analyst to join our team at ING. As a Quantitative Analyst, you will be responsible for leading quantitative analysis, contributing to project planning, and improving model methodology.

Requirements:

  • An academic degree (MSc or PhD) in econometrics, quantitative methods, statistics, 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 (NMDs, interest rate dynamics, interest rate curves, stochastic interest rate models).
  • Understanding banking and financial market products (options, interest rate swaps).
  • Sound knowledge of statistical modelling and econometric methods.
  • Experience with statistical programming (Python, R).

Preferred Qualifications:

  • Experience in the development and/or validation of behavioural models such as prepayment models.
  • Replication (hedging) models.
  • 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.
  • Experience with Azure Pipelines & Repos.
  • Design patterns, SOLID principles.

About the Squad:

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 (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.

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