CDR (Amsterdam - Cedar), Netherlands
Onsite
The team
IRRBB Squad is one of the four Amsterdam-based squads within WBMORM team. We develop and maintain interest rate, valuation, and income models for the banking book scope, be it for ING’s target ALM system or the in-house Python-based simulation platform. We are a diverse group of six motivated individuals, and we collaborate closely with the Risk Hub ALM team based in Warsaw.
Roles and responsibilities
We are looking for a candidate to strengthen our team in the modelling of interest rates. This is related to - among others - term structure modelling, multi-tenor frameworks, stochastic valuation, the differentiation between interest rate and credit spread risk in valuation, etc. The role demands not only a solid theoretical background but also the capability to independently build models in our Python libraries with limited supervision.
Key responsibilities include:
Work on developing and maintaining ALM models, including data input, model calibration, and scenario analysis
Collaborate with the team to develop ING’s interest rate, valuation, and income models and to further develop the in-house modelling platform
Conduct sensitivity analysis and stress testing of the ALM models to assess the impact of various risk factors on the financial projections
Analyse the results to identify potential areas of risk or opportunity
Participate and sometimes lead the end-to-end model (re-)development process
Prepare presentations and reports for internal stakeholders
How to succeed
We hire smart people like you for your potential. Our biggest expectation is that you’ll stay curious. Keep learning. Take on responsibility. In return, we’ll back you to develop into an even more awesome version of yourself.
In order to succeed the following requirements are a must:
An academic degree (MSc or PhD), quantitative studies such as Econometrics, Mathematics, Engineering & Physics.
Proven experience in quantitative model development within a financial institution (typically 0 - 2) years or equivalent demonstrated expertise).
Experience as model developer or model owner of interest rate models (e.g. term structure, stochastic models, valuation frameworks).
Understanding of the concept of valuation, in the perspective of IRRBB and CSRBB.
Proven experience with object-oriented software development in large-scale systems, beyond standalone (Python) scripts.
Experience with Rust for performance optimisation.
Additionally, you should be:
Proactive and analytical
Open and strong in communication
Problem solving and determined to finish on time
Rewards and benefits
We want to make sure that it’s possible for you to strike the right balance between your career and your private life. Find out more about our employment conditions.
The benefits of working with us at ING include:
25-28 vacation days depending on contract
Pension scheme
13th month salary
8% Holiday payment
Hybrid working
Personal growth and challenging work with endless possibilities
An informal working environment with innovative colleagues
About us
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Questions?
Please visit our Frequently Asked Questions section to find some answers on questions you might have.
For any question regarding this vacancy please contact Maciej Karczmarczyk.
Want to apply directly? Please upload your CV and motivation letter by clicking the ‘Apply’ button.
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