IRRBB Modelling Specialist

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

Job summary

ING Hubs Poland is hiring for roles in the Bank-wide Market and Operational Risk Models Team in Warsaw. The position focuses on behavioral and risk transfer models and tools to support Asset and Liability Model Development teams in Amsterdam.

We look for candidates with MSc/PhD in quantitative fields, strong modelling experience in banking, knowledge of interest rate risk and IRRBB, and experience with Python or similar, plus Agile working. Senior Specialist may lead modelling initiatives.

Qualifications

• MSc or PhD preferred in econometrics, quantitative finance, mathematics, physics, statistics, computer science or related field.
• Proven experience in quantitative modelling within banking industry.
• Sound knowledge of interest rate risk management, especially behavioral modelling (mortgage or savings models).
• Strong statistical and analytical skills; ability to answer business questions with analyses.

Responsibilities

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

Skills

Quantitative modelling

Statistical analysis

Problem solving

Agile working

Education

MSc or PhD in quantitative field

Tools

Python

Data modelling

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”.