IRRBB Senior Model Developer

Job description

ING Hubs Poland is hiring! ​ The expected salary for this position: 13000 - 21000 PLN gross. The financial ranges specified in the announcement are adjusted and may differ from the range specified in the remuneration regulations. 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 technique...