Model Development IRRBB Lead

ING Hubs Poland is hiring!

The expected salary for this position: 22 700 - 36 500 PLN gross.

The financial ranges specified in the announcement are adjusted and may differ from the range specified in the remuneration regulations.

We are looking for you if you have:

• 10+ years of experience in financial risk management, supervision, or related fields

• Broad expertise across market risk modelling, statistics, combining strong technical background with domain expertise

• Experience in building / steering / leading quantitative teams. Cross-country or international experience is very welcome.

• Extensive experience across ALM and statistics, combining strong technical background with domain expertise.

• Quantitative background, i.e., a MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics

• Sound knowledge of statistical inference and econometric methods

• Sound knowledge of Python programming language

• Extensive knowledge of interest rate modelling

English level - C1.

You'll get extra points for:

• Experience in being a sparring partner/advisor to Senior Management

• Professional certification FRM/PRM/CFA or CQF

• Contribution to solving ECB findings

• Knowledge of and experience with SOT regulatory models (NII, EVE)

• Knowledge of EBA IRRBB/CSRBB Guidelines and Regulatory Technical Standards on SOT

Your responsibilities:

• Managing the work of a team of 15+ quantitative experts

• Steer and lead senior experts in model development and monitoring

• Collaborate within Market & Operational Risk Model Development on roadmap delivery, including model development, change, monitoring, as well as solving Model Validation, Audit, and ECB findings

• Support Business, Finance and Risk domains by maintaining, creation, and roll-out of interest rate curves and indices

• Build, grow and lead team of senior experts, motivate, recruitment / hiring / talent development of scarce senior regulatory / model experts

• Model Development: Applies broad knowledge of IRRBB/Interest Rate modelling to lead the development of risk models, striking the balance between complexity, quality, and business needs.

• Model Ownership: Applies broad knowledge of Interest Rate models and market standards to act as a Model Owner, providing thought leadership and stakeholder management related to interest rate models and curves.

• Technical leadership: Applies knowledge and experience in programming to lead the Python implementations of the models in scope, as well as the related implementations on the in-house platform.

• Ensures Accountability: Fosters a sense of accountability across the organisation and personally takes a strong role in ensuring commitments to internal policies and external regulations are met.

• Effective Team-building: Builds strong-identity teams of diversely skilled experts to achieve common goals, with the ability to drive engagement by creating a shared vision across the team.

Information about the team:

Market & Operational Risk Model Development is an international, global team (more than 35 risk experts) located in Amsterdam and Warsaw. The key responsibility is development of robust ALM & Operational risk models supporting regulatory compliance and risk management of ING.
The role naming convention in the global ING job architecture will be "Lead Financial Risk III".

The financial ranges specified in the announcement are adjusted and may differ from the range specified in the remuneration regulations.