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Market Risk Quant - Model Validation - Expert (ALM)
Finanse

Market Risk Quant - Model Validation - Expert (ALM)

Rodzaj pracy
Pełny etat
Doświadczenie
Starszy specjalista/Senior
Forma zatrudnienia
UoP
Tryb pracy
Praca hybrydowa
ING Hubs Poland

ING Hubs Poland

For over 20 years we have been taking up challenges and proving that we are a trustworthy partner supporting ING in digital transformation. We are the unseen heroes providing the people of the bank with the essential — and often unnoticed — services. We also protect their money and simply create the future of banking. And that's a big thing! See what exactly we do at ING Hubs Poland!

Zobacz profil pracodawcy

Wymagane umiejętności

ALM

Quantitative model validation

IRRBB

model development

Asset Liability Management

English

Opis stanowiska

Rekrutacja zdalna
Friendly offer

We are looking for you, if you have:


  • at least 6 years of experience in Asset Liability Management (ALM), Interest Rate Risk in the Banking Book (IRRBB), Economic Capital (EC), or generic Market Risk or Liquidity Risk. At least part of your experience should be in quantitative model validation or model development,
  • good knowledge of financial engineering, statistics, mathematics, econometrics, and/or probability,
  • quantitative background, (MSc or PhD degree) in e.g. Econometrics, Quantitative Methods, Quantitative Finance, Mathematics, Statistics, or Physics,
  • the ability to clearly, succinctly, and confidently express complex ideas, facts, and opinions. You can communicate them fluently, logically, and in the English language, both in speaking and writing, supported by appropriate tools (plots, tables, data, etc.),
  • the ability to identify hidden problems, analyze key information, and form intelligent connections in order to find appropriate solutions,
  • the ability to manage a small team of specialists,
  • a genuine passion for continuously improving.


You'll get extra points for:


  • a research mindset,
  • knowledge of Python/SQL/QRM,
  • certificates: FRM, PRM, CQF, BTRM or CFA.


English: C2


Your responsibilities:

  • Model analysis,
  • Writing validation reports,
  • Leading a small team of specialists and communicating with stakeholders,
  • Development of tools for automation of validation process.


Information about the squad:


We are responsible for validating IRRBB & ALM models used by ING in about 40 countries all over the globe. We cover an interesting, wide, and evolving set of models ranging from highly technical/quantitative to qualitative/expert-opinion based. We specialize in market risk models in the banking book such as behavioral, interest rates, valuation, replication/hedging, and risk measurement. Our core mandate is to address whether a particular model is fit for its designated purpose, based on mathematical assumptions, appropriate business contexts, academic theories, and empirical evidence, and is properly adherent to regulations, best practices, and the latest technological innovations.

The ALM Model Validation Tribe has 50 experts and specialists split into 3 chapters in Amsterdam and 1 chapter in Warsaw. The Warsaw chapter has 15 validators, which constitute an independent team but work very closely with the whole Tribe.

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