Senior Quantitive Risk Model Analyst

Miejsce pracy: Warszawa

Recruitment for

Were recruiting for a global company from banking sector.

Develop, maintain and enhance models for counterparty credit risk especially in reference to 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 tests 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 as well as 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 modelling 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.

Experience: 3+ year experience as a quantitative analyst or risk analyst in the financial industry.
Advanced programming skills in Python are essential.
Excellent mathematical skills.
Very good verbal and written communication in English.

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