Informacje o stanowisku

Quantitative Market Risk Analyst

Warsaw, Hybrid work

We have an excellent opportunity available for an experienced Quantitative Risk Analyst to join our Market Risk Analytics team in Warsaw office. You will be responsible for critical deliverables involving complex market risk models related to the Value at Risk of the bank. For someone with the right competency, keen interest, high degree of motivation and energy, the role offers an excellent opportunity to be at the centre of involved market risk methodologies.

Responsibilities:

• Conduct analyses related to regulatory requirements for Legal Entities in the EMEA region.
• Maintain quantitative analyses for current methodologies related to Equity Risk simulations.
• Produce high quality documentation with important statistical background and interact with the model validation team.
• Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business requires model enhancements.
• Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes.
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

Skills and Experience:

• Experience in one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, Basel 2.5 and Basel 3 regulations.
• Knowledge of a wide variety of common statistical tests used in Financial Engineering is required.
• Familiarity with Financial Engineering techniques such as PAA, PCA, Expected Weighted averages, CAPM model, etc.
• Ability to interpret and translate regulations into technical specifications to serve as foundation for the implementation, testing, validation, and compliance.
• Strong hands-on IT skills, for example Python, VBA, SQL, Unix.
• Keen interest in banking and finance, especially in the field of Quantitative Risk Modelling.
• Excellent oral and written communication skills.

Education:

• Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, data science and engineering).
• PhD or equivalent degree / MSc level qualification is strongly preferred.

Our Offer:

• Medicover
• Generali life insurance
• E-learning platform
• Paid Referral Program
• Hybrid work from clients office in Warsaw

Warszawa - Oferty pracy w okolicznych lokalizacjach