An academic degree (MSc or PhD) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field,
Minimum 3 years of experience in IRRBB,
Sound knowledge of interest rate risk measures (BPV, VaR, NII, EVE) and sources,
Experience in modelling of interest rate risk in the banking book (e.g. NMDs, interest rate dynamics, interest rate curves, stochastic interest rate models),
Banking and financial market products understanding e.g. options, interest rate swaps,
Sound knowledge of statistical modelling and econometric methods,
Experience with statistical programming (e.g. Python, R).
requirements-expected :
Leading quantitative analysis,
Contributing to project planning,
Improving model methodology,
Model implementation and development of tools (Python),
Assessing model performance - backtesting, monitoring, benchmarking,
Technical reporting - model documentation.
benefits :
sharing the costs of sports activities
private medical care
sharing the costs of foreign language classes
sharing the costs of professional training & courses
