Model Development IRRBB Lead (Fintech)

TL;DR

Model Development IRRBB Lead (Quantitative Finance): Leading a team of 15+ quantitative experts to develop and monitor interest rate risk in the banking book (IRRBB) models with an accent on ALM and statistical inference. Focus on Python implementations of risk models, solving regulatory findings from the ECB, and ensuring compliance with EBA guidelines.

Location: Must be based in Warsaw (Pańska 97)

Salary: 22,700 - 36,500 PLN gross

Company

Global financial services hub providing risk management and model development for ING.

What you will do

• Manage and lead a team of 15+ quantitative experts in model development and monitoring.
• Lead the development of IRRBB risk models, balancing complexity, quality, and business needs.
• Collaborate on roadmap delivery, including model changes and solving Model Validation, Audit, and ECB findings.
• Act as Model Owner for interest rate models and curves, providing thought leadership and stakeholder management.
• Drive the Python implementation of risk models on the in-house platform.
• Build and grow the team through recruitment and talent development of senior regulatory model experts.

Requirements

• 10+ years of experience in financial risk management, supervision, or related fields.
• Broad expertise in market risk modelling, statistics, and ALM.
• Quantitative background with an MSc or PhD in Econometrics, Mathematics, Statistics, or Physics.
• Proficiency in Python programming and sound knowledge of econometric methods.
• English: C1 level required.
• Location: Must be based in Warsaw.

Nice to have

• Professional certifications such as FRM, PRM, CFA, or CQF.
• Experience acting as a sparring partner or advisor to Senior Management.
• Knowledge of SOT regulatory models (NII, EVE) and EBA IRRBB/CSRBB guidelines.
• Experience in solving ECB findings.

Culture & Benefits

• Opportunity to work within an international, global team located in Amsterdam and Warsaw.
• Leadership role managing a large team of highly skilled risk experts.
• Focus on high-impact regulatory compliance and institutional risk management.