IRRBB Modelling Specialist
Core
Develop and manage Interest Rate Risk in the Banking Book (IRRBB) models, including behavioral, replication, and stress testing models for ING's Asset and Liability Management.
Role type
Quantitative modeller (IRRBB/ALM)
Builds
Behavioral models, replication portfolios, earnings-at-risk frameworks, and stress testing tools
Domain
Banking / Financial Risk Management
Deliverable
production ML models | product features
Required skills
econometrics, quantitative finance, interest rate risk management, behavioral modelling, statistical analysis, Python, data modelling, data quality control
Preferred skills
IRRBB modelling topics, database management, high-quality analytical solutions in Python
Responsibilities
Contribute to model design, coding, and testing; participate in model submissions and internal reviews; lead modelling initiatives such as monitoring and parameter recalibration; coordinate with validation and audit teams
Seniority
Specialist (IC) / Senior Specialist (Lead IC)
