As part of the ICAAP Methodology & Analytics team, you will be supporting with development, implementation and data analysis for risk controlling, with a focus on Pillar II and interest rate risk in the banking book. * Contribute to the development, implementation and maintenance of advanced risk measurement methodologies specifically for Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book, including metrics like EVE (Economic Value of Equity) and NII (Net Interest Income) sensitivity. * Ensure the development of a robust, audit-proof testing environment for all new methodology and code releases, establishing best-practice documentation. * Knowledge of VaR and stress testing methodologies, with practical experience in model development, implementation, and governance, preferably with a focus on market risk.
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