Model Developer - Interest Rates & Balance Sheet Junior Specialist
ING
Warsaw, Poland
1 d. temu

We are looking for you if :

  • You have an academic degree in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field,
  • You are familiar with interest rate risk and its measures,
  • 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 are willing to learn (e.g. interest in risk trainings, FRM, PRM certificates),
  • You have an ability to clearly and succinctly express ideas, facts and opinions and you are able to express them fluently also in English, both in speaking and writing, supported by appropriate tools,
  • 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.
  • Additionally, you will score for :

  • Understanding banking and financial market products e.g. options,
  • Knowledge of advanced statistical techniques such as, Monte Carlo, Bayesian statistics, numerical methods, optimization etc.
  • or stochastic interest rate models,

  • Working knowledge of Git,
  • Familiarity with stochastic interest rate models (Vasicek, CIR, Hull-White, LMM).
  • 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.

    Created with Raphaël 2.1.225%Improving model development methodology

    Working tasks

  • Improving model development methodology
  • Developing, improving, analysing and documenting ALM models
  • Advising management team about modelling topics
  • Model monitoring, backtesting and benchmarking
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