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 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).