Behavioural Modeller
Luxoft is a global leader in high-end software development.
Luxoft is looking for talents with a passion for technology & ready to create original solutions. Once on board, you are invited to expand your knowledge & skills, offering you a continuous learning experience helping you stretch your potential.
So if you’re enthusiastic by the idea of accessing cutting edge technology & innovation to make an impact, why don't you join us?
Behavioural Modeller
Miejsce pracy: Warsaw
Nr Ref.: VR-38159
Responsibilites
- Defines the methodology to implement ALM / IRRBB behavioural models for pricing and forecasting
- Designs the relevant data extracts as inputs to models and solutions, considering the balance between accuracy and model performance.
- Develops calculation prototypes using excel VBA / SAS / R / PYTHON
- Designs efficient and effective system workflows, and ensures that the platform is compliant with various Bank policies
- Documents all underlying methodologies, design, assumptions and operating models.
- Provides ongoing product management maintenance and support
- Supports, as the SME, the migration of tactical solutions to strategic platforms.
- Manages communications with desks, policy owners and risk managers to understand user needs, resolve issues and promote usage of the products developed.
- Schedules and manages workloads for individual projects.
- Successful Candidate will participate in comprehensive 2-week structured training program which will equip the Candidate with required knowledge to successfully execute their assigned scope of work.
We offer
The primary objective of the role is to drive balance sheet optimization delivery through analytical solutions, ALM behavioural models and statistical data science analysis (e.g. longevity and stability of CASA, early redemptions of TDs, prepayments and pricing of embedded optionality) for front office Treasury Market dealers, policy owners and risk managers. The candidate should be the key driver and promoter for the use of analytical tools in balance sheet management and strategy formulation in the countries within his / her scope.
The candidate will provide support across number of critical initiatives and maintenance of existing models and tools managed by the Business.