Your responsibilities

• Use statistical modelling and machine learning techniques to develop prepayment/pipeline models for mortgage products to hedge the risk and assess the IRRBB risk metrics.
• Develop the required behavioural models for different products to assess the IRRBB risk metrics.
• Use the quantitative expertise to design models supporting the Markets Treasury business and other functional Treasury teams where required. Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change.
• Work together with Financial Engineering and IT teams to contribute in the development of the One Treasury Platform. Be involved, whenever required, in the initiatives related to the other Global Finance Analytics pillars: Forecasting, Flow Analytics and Core calculations. Contribute to the improvement of these models through assessment of impact, model validation, and helping document changes for internal and external use.
• Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose.
• Be responsible for Model Life Cycle - starting from defining the objectives to model development / testing, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny.
• Coordinate projects focusing on ensuring consistency across sites. Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the onshore process team prior to implementation. Document all process changes and improvements to reflect the latest process.
• Be able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day setting, e.g. helping to explain significant model value changes.

Our requirements

• Academic background in a quantitative field such as Mathematics, Data Science, Econometrics, Engineering, Physics. Qualification and Expertise in mathematics / statistics / machine learning algorithms.
• Solid background in Python programming, preferably in large scale financial or technical computations.
• 3+ years of relevant experience in analytics preferably in the fields such as Risk Modelling, Stress Testing, Forecasting etc. for a Banking organisation.
• Open personality and effective communication skills, including experience speaking to technical and business audiences and working globally.

Optional

• Good understanding of the Banking Book risks: IRRBB risk components and liquidity risks.
• Experience in designing behavioural models.
• Familiarity with financial assets and liabilities, with a preference for experience with asset pricing and metrics used to govern financial institutions, e.g. liquidity coverage ratios, balance sheet and capital ratios.
• Experience with financial markets, with a preference for vanilla interest rate derivative pricing, bond products pricing, curve construction, hedging strategies and risk management. Strong understanding of banking products such as Deposits, Savings, Lending, Credit Cards.

What we offer

• Competitive salary

• Annual performance-based bonus

• Additional bonuses for recognition awards

• Multisport card

• Private medical care

• Life insurance

• One-time reimbursement of home office set-up (up to 800 PLN)

• Corporate parties & events

• CSR initiatives

• Nursery discounts

• Financial support with trainings and education

• Social fund

• Flexible working hours

• Free parking