Senior Quantitative Risk Model Analyst

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 the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-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 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.

Qualification:

• Experience: 3+ year 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 is very important.

We offer:

• Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls

• Cooperation with a high quality, international, multicultural and global team

• Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

• Management supporting balanced and agile work (flexible working hours, home office)

• Attractive benefits package (Benefit System, medical care, pension plan etc.)

• A chance to make a difference with various affinity networks and charity initiatives

#LI-NG2

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