Ogłoszenie opublikowane przez Professionals Group sp. z o.o. agencję zatrudnienia zarejestrowaną w KRAZ pod nr 23835 / Advertisement published by Professionals Group sp. z o.o. an employment agency registered in KRAZ under no. 23835.

We are looking for a Senior Specialist/Expert Risk Modeller for ALM Models to join our client’s team in the banking industry. The successful candidate will become part of a department specializing in the development and management of credit, market, and operational risk models.

The ALM Models Senior Specialist/Expert will have the opportunity to deepen their expertise in ALM modeling, utilizing state-of-the-art methods, tools, and data processing technologies.

Form of Employment: Employment Contract

Operation Mode: Hybrid (1-2 office visits per week in Warsaw or Katowice)

Responsibilities

Leading quantitative analyses.
Contributing to project planning.
Enhancing model methodologies.
Implementing models and developing tools using Python.
Assessing model performance, including backtesting, monitoring, and benchmarking.
Preparing technical reports and model documentation.

Requirements

Proven experience in IRRBB modeling (Interest Rate Risk in the Banking Book), including areas such as NMDs, interest rate dynamics, interest rate curves, and stochastic interest rate models.
Strong understanding of interest rate risk measures (e.g., BPV, VaR, NII, EVE) and their sources.
Proficiency in statistical modeling and econometric methods.
Experience with statistical programming (Python, R).
Solid understanding of banking and financial market products (e.g., options, interest rate swaps).
Academic degree (MSc or PhD) in econometrics, quantitative methods, statistics, mathematics, physics, or a related quantitative field.

Nice to Have

Experience in developing and/or validating behavioral models (e.g., prepayment models).
Knowledge of replication (hedging) models.
Familiarity with advanced statistical techniques (e.g., Monte Carlo simulations, numerical methods, stochastic interest rates).
Experience with databases, data modeling, data preparation, and data quality control.
Knowledge of Azure Pipelines & Repos.
Understanding of design patterns and SOLID principles.

What Our Client Offers

Stable employment in a global company under an employment contract.
Opportunities to work on interesting international projects.
Access to the latest technologies.
Thoughtfully designed personal development plans.
A dedicated training budget.
Complimentary English courses.
Private medical care.
Individual and group insurance.
MultiSport card.
Team integration events.
Annual performance-based bonus.
Flexible working hours (start time between 7:00 and 9:00).