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.
- Improving model development methodology: 25%
- Developing, improving, analysing and documenting ALM models: 25%
- Advising management team about modelling topics: 25%
- Model monitoring, backtesting and benchmarking: 25%
We are looking for you if:
- You have an academic degree (BSc or MSc) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field,
- You have sound knowledge of interest rate risk measures and sources,
- You have experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics),
- 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 have an ability to clearly and succinctly express ideas, facts and opinions and you are able to express them fluently also in English,
- 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:
- Experience in the development and/or validation of behavior models such as prepayment models
- Replication (hedging) models,
- Understanding banking and financial market products e.g. options,
- Knowledge of and experience with advanced statistical techniques such as, Monte Carlo, Bayesian statistics, numerical methods, stochastic interest rates, etc.,
- Experience with databases, data modelling, data preparation and data quality control is considered a plus,
- Professional certification FRM/PRM/CFA,
- Familiarity of regulatory requirements with respect to IRRBB,
- Familiarity of model risk and model lifecycle,
- Experience with Python programming,
- Working knowledge of Git,
- Familiarity with stochastic interest rate models (Vasicek, CIR, Hull-White, LMM),
- Familiarity with Jarrow-van Deventer Framework.
ING Hubs Poland
ING Hubs Poland
We are an integral part of ING, we value knowledge and relations, inspire and support each other at achieving our goals. Until recently, we were knows as ING Tech Poland. We decided to change our name to ING Hubs Poland to better reflect the wide range of our services, going beyond technology.
Thanks to the experience that combines IT with knowledge of the financial sector and the ability to build products and comprehensive services, we hold a unique position at ING. We use this potential to optimize processes and lead business units through the digital transformation.
We are one of global hubs providing technology, data and risk services for ING units all over the world! Our IT areas include IT security, remote, application and hosting services. Our operational services are provided by units such as RiskHub, CardsHub, Know Your Customer, Centralised People Services Hub and ComplianceHub. For almost 20 years we have been taking up challenges and proving that we are a trustworthy partner supporting ING in digital transformation.
Join ING Hubs Poland board and specialize in best technologies: Microsoft Azure, Google Cloud Platform, Java, .Net, Python, Linux, Kubernetes, Ansible, Gitlab, Angular, Tomcat, Kafka, Spark, Nessus, ElasticSearch, VMware and many more.
In our organization, the world of technology goes hand in hand with business and operational services.
What do you gain by working with us?
· You expand your knowledge thanks to cooperation with specialists and experts,
· You improve your qualifications thanks to the possibility of obtaining certificates,
· You have the opportunity to participate in internal trainings, where our internal trainers share their knowledge on solutions provided to our customers,
· You have a chance to work on international projects,
· You will find out what it means to have a well-tuned team and great atmosphere at work