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Behavioural Modeller

  • Warszawa, mazowieckie pokaż mapę
  • Specjalista
  • 03.12.2018

    Pracodawca ma prawo zakończyć rekrutację we wcześniejszym terminie.

    Luxoft is a global leader in high-end software development.

    employees across 30 locations. It was recently recognized as Leading Central and Eastern European Service Provider in the 2010 Global Services 100 list. Luxoft is famous for flexible delivery models, world's best IT talent pool, best-of-breed processes and highest security and quality standards. Luxoft is trusted long-term partner for world class leaders such as Avaya, Boeing, Dell, Deutsche Bank, IBM.

    Behavioural Modeller

    Behavioural Modeller
    Miejsce pracy: Warszawa

    Luxoft is a global IT service provider of innovative technology solutions that delivers measurable business outcomes to multinational companies. Its offerings encompass strategic consulting, custom software development services, and digital solution engineering. Luxoft enables companies to compete by leveraging its multi-industry expertise in the financial services, automotive, communications, and healthcare & life sciences sectors. For more information, please visit the website.

    Project Description

    The primary objective of the role is to drive balance sheet optimization delivery through analytical solutions, ALM behavioural models and statistical data science analysis (e.g. longevity and stability of CASA, early redemptions of TDs, prepayments and pricing of embedded optionality) for front office Treasury Market dealers, policy owners and risk managers. The candidate should be the key driver and promoter for the use of analytical tools in balance sheet management and strategy formulation in the countries within his / her scope.

    The candidate will provide support across number of critical initiatives and maintenance of existing models and tools managed by the Business. 


    • Defines the methodology to implement ALM / IRRBB behavioural models for pricing and forecasting
    • Designs the relevant data extracts as inputs to models and solutions, considering the balance between accuracy and model performance.
    • Develops calculation prototypes using excel VBA / SAS / R / PYTHON
    • Designs efficient and effective system workflows, and ensures that the platform is compliant with various Bank policies
    • Documents all underlying methodologies, design, assumptions and operating models.
    • Provides ongoing product management maintenance and support
    • Supports, as the SME, the migration of tactical solutions to strategic platforms.
    • Manages communications with desks, policy owners and risk managers to understand user needs, resolve issues and promote usage of the products developed.
    • Schedules and manages workloads for individual projects.
    • Successful Candidate will participate in comprehensive 2-week structured training program which will equip the Candidate with required knowledge to successfully execute their assigned scope of work.



    • Proven track record in building and implementing stochastic models in banking or financial institutions
    • Functional experience in either Treasury, Asset and Liability Management, IRRBB, Liquidity Risk Management space
    • Adequate knowledge across VBA / SAS / R / PYTHON (at least two of these languages is preferred)
    • Experience working with Technology to develop data feeds
    • Proven ability to comprehend business requirements and processes, and to identify inefficiency, risk, and to provide appropriate business solutions or alternatives.
    • Excellent written and verbal communication in English.
    • Strong analytical and problem-solving skills, positive attitude, and highly driven in fast paced environment.


    • English: Advanced/Fluent

    If you are interested in the above position, please apply by submitting your CV in English.

    Learn more about Luxoft at www.luxoft.com
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