Oferta pracy

Junior Operational Risk Modeller

ING Tech Poland

  • Zajęcza 4, Warszawa
    Warszawa, Masovian
  • offer expired 2 months ago
  • contract of employment
  • full-time
  • junior specialist (Junior)
  • remote recruitment

ING Tech Poland

Zajęcza 4

Warszawa

Your responsibilities

  • Development and monitoring of risk models

  • Development of toolings and analyticallibraries

  • Model documentation

  • Advisory

Our requirements

  • You have Master degree in a quantitative field (mathematics, financial engineering, physics, econometrics, data analysis or highly quantitative economic degree),

  • You have skills in statistical reasoning, distribution fitting, Monte Carlo method,

  • You have R and/or Python programming skills,

  • You have ability to draw clear and meaningful conclusions from analyses analyses and them in an organized and clear way,

  • You are willing to learn (e.g. interest in risk trainings, FRM, PRM certificates),

  • You have a very good command of English – at least B2+ level.

Optional

  • Experience in development/validation of risk models,

  • Knowledge of risk measures: VaR, Expected Shortfall,

  • Knowledge of extreme value theory, Bayesian statistics, copulas,

  • Professional experience in R/Python,

  • Knowledge of R Shiny.

  • Ability to present results to the team in an organized way,

  • Ability to draw clear and meaningful conclusions from analyses,

  • Willingness to learn,

  • Teamwork spirit.

What we offer

  • Professional development

  • Certificates and knowledge transfer

  • Training budget

  • Access to the newest technologies

  • International projects

  • Stability of employment

  • Fully equipped workstations

  • Benefits

  • sharing the costs of sports activities

  • private medical care

  • sharing the costs of foreign language classes

  • sharing the costs of professional training & courses

  • life insurance

  • integration events

  • corporate gym

  • video games at work

  • parking space for employees

  • leisure zone

Information about squad:

Operational Risk Model Development team is responsible for methodology of a model estimating capital needed to cover potential operational losses. Due to the characteristics of used data, the model consists of multiple components and when working on it, we use a wide range of mathematical theories and techniques: - extreme value theory - statistical analysis and fitting different distributions with different characteristics - Monte Carlo - copulas. Working on the model takes into account both its development and monitoring. For this purpose, we familiarize ourselves with the latest academic and industry literature, and the spectrum of concepts contained in the model may be expanded. Additionally, we are responsible for creating and maintaining the tools supporting the main model. We work in an international environment, cooperating with teams from variety of departments including model owners, users, as well as its implementers and validators. We work in the Scrum framework which focuses on internal discussion, initiative and taking responsibility for tasks.