IRRBB Modelling Specialist

ING; Warszawa; On-site; PLN 79,000 - 201,000; Full time

Job summary

ING Hubs Poland is looking for a highly skilled model developer to join the Bank-wide Market and Operational Risk Models Team in Warsaw. The role focuses on ALM modelling, behavioral and risk transfer models, and tool development for ING globally.

Depending on seniority, you will contribute to design, coding and testing as a Specialist, or lead key modelling initiatives, coordinate with validation and audit, and ensure regulatory compliance as a Senior Specialist.

Qualifications

• Academic degree (MSc or PhD preferred) in econometrics, quantitative finance, mathematics, physics, statistics, CS or related field.
• Proven experience in quantitative modelling within banking industry.
• Sound knowledge of interest rate risk management, esp. behavioral modelling for mortgages or savings.
• Strong statistical and problem-solving skills with business-driven analyses.
• Experience with Agile way of working is desirable.

Responsibilities

• Specialists: contribute to model design, coding, testing; participate in model submissions and internal reviews.
• Senior Specialists: lead modelling initiatives, coordinate with validation/audit teams, ensure regulatory compliance.

Skills

Quantitative modelling

Statistics

Problem solving

Agile

Business insights

Education

MSc/PhD in quantitative field

Tools

Python

SQL

Data modelling

Data quality control

Job description

ING Hubs Poland is hiring!

The expected salary for this position:

Specialist: 7 100 – 14 500 PLN gross
Senior Specialist: 9 600 – 18 000 PLN gross

The financial ranges specified in the announcement are adjusted and may differ from the range specified in the remuneration regulations.

ING Hubs is looking for a new team member to join the Bank-wide Market and Operational Risk Models Team. The vacancy is meant to support the Asset and Liability Model Development teams in Amsterdam, focused on behavioral and risk transfer models and tools.

We are looking for you, if you have:

• an academic degree (MSc or PhD preferred) in econometrics, quantitative finance, mathematics, physics, statistics, computer science or a related quantitative field
• proven experience in quantitative modelling within banking industry
• sound knowledge of interest rate risk management, in particular in relation to behavioral modelling (mortgage or savings models)
• strong statistical, quantitative, and problem-solving skills
• the ability to answer business questions with insightful analyses or modelling proposals
• experience with Agile way of working

You’ll get extra points for:

• experience with IRRBB modelling topics such as behavioral modelling, replication portfolios, earnings-at-risk and valuation frameworks
• experience with databases, data modelling, data preparation, and data quality control
• experience developing high-quality analytical solutions in Python or a similar language

Your responsibilities:

Depending on your seniority level, you will:

• Specialists : Contribute to model design, coding, and testing; participate in model submissions and internal reviews
• Senior Specialist : Lead certain modelling initiatives (such as monitoring, parameter recalibration, etc.), coordinate with validation and audit teams, ensure compliance with regulatory standards

Information about the Team:

The Mar&Ops Model department is an international team of highly qualified professionals. Our expertise lies in the development and management of 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 behavioral (e.g. prepayment), replication (hedging) and stress testing models. The models are used by all local Risk Management units within ING, as well as the Group Risk function.

As a specialist in ALM modelling, you will be given the opportunity to interact with senior stakeholders in the IRRBB area, 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 II” or “Model Developer III”.