Informacje o stanowisku

Job Description

The Market and Counterparty Credit Risk Analytics team is looking for a Senior Quantitative Risk Model Analyst to join their Warsaw-based team.

Team: The group is responsible for developing and maintaining methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchange-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures.

Responsibilities:

• Develop, maintain, and enhance models for counterparty credit risk, especially in reference to the construction and calibration of counterparty risk covariance matrices.
• Calibrate and maintain simulation models for the purpose of counterparty credit risk.
• Contribute to the production and user acceptance test releases of covariance matrices.
• Perform impact analysis of any changes in covariance matrices as well as CCR model parameters in reference to internal risk management and regulatory measures of counterparty credit risk.
• Develop and implement methodologies, algorithms, and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modeling data.
• Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process, and quality controls.
• Support various tasks in response to regulatory and internal risk management requirements.
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

Qualifications:

• 3+ years of experience as a quantitative analyst or risk analyst in the financial industry.
• Advanced programming skills in Python are essential.
• Knowledge of counterparty risk is a strong plus.
• Excellent mathematical skills.
• Good verbal and written communication skills are very important.

Our offer:

• B2B via Experis
• Remote or Hybrid workin Warsaw
• Sport Card
• Life insurance
• Private Health insurance

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