Risk Modeller for ALM Models

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).