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 analysis,
Contributing to project planning,
Improving model methodology,
Model implementation and development of tools (Python),
Assessing model performance - backtesting, monitoring, benchmarking,
Technical reporting - model documentation.

Requirements

Minimum 3 years of experience in IRRBB (Interest Rate Risk in the Banking Book),
Sound knowledge of interest rate risk measures (BPV, VaR, NII, EVE) and sources,
Experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics, interest rate curves, stochastic interest rate models),
Banking and financial market products understanding (e.g. options, interest rate swaps),
Sound knowledge of statistical modelling and econometric methods,
Experience with statistical programming (e.g. Python, R).
An academic degree (MSc or PhD) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field.

Nice to Have

Experience in the development and/or validation of behavioural models such as prepayment models,
Replication (hedging) models,
Knowledge of and experience with advanced statistical techniques such as, Monte Carlo, numerical methods, stochastic interest rates, etc.,
Experience with databases, data modelling, data preparation and data quality control,
Experience with Azure Pipelines & Repos,
Design patterns, 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).

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.