Model Developer Bank Wide Market and Operational Risk Modelling Team

Job description

The team IRRBB Squad is one of the four Amsterdam-based squads within WBMORM team. We develop and maintain interest rate, valuation, and income models for the banking book scope, be it for ING’s target ALM system or the in-house Python-based simulation platform. We are a diverse group of six motivated individuals, and we collaborate closely with the Risk Hub ALM team based in Warsaw. Roles and responsibilities: Key responsibilities include: Work on developing and maintaining ALM models, including data input, model calibration, and scenario analysis. Collaborate with the team to develop ING’s interest rate, valuation, and income models and to further develop the in-house modelling platform. Conduct sensitivity analysis and stress testing of the ALM models to assess the impact of various risk factors on the financial projections. Analyse the results to identify potential areas of risk or opportunity. Participate and sometimes lead the end-to-end model (re-)development process. Prepare presentations and reports for internal stakeholders. How to succeed: We hire smart people like you for your potential. Our biggest expectation is that you’ll stay curious. Keep learning. Take on respons...