Quantitative Risk Analyst

2 tygodni temu

Kraków, Polska emagine Consulting Pełny etat

PROJECT INFORMATION:

Industry:  Banking

Project language:  English, Polish

Localization: Cracow - office visits only once per month

Type of assignment:  B2B

Responsibilities:

Conduct independent model validations as a member of the specialized quantitative team within the bank’s Model Risk Management department, known as the Independent Model Review team.

Focus specifically on Treasury models, including those related to Prepayment Risk, Liquidity Risk, IRRBB (Interest Rate Risk on the Banking Book), NII (Net Interest Income), EVE (Economic Value of Equity), and ALCM (Asset Liability and Capital Management).

Evaluate risks associated with model input data quality, model performance, and usage. This includes reviewing back-testing results, sensitivity analyses, and stress tests to assess overall model performance.

Ensure compliance of models with regulatory requirements, including Basel III and OCC guidelines, as well as internal risk management policies.

Evaluate quantitative or expert-based models to identify risks related to their assumptions and limitations. Provide assessments of the conceptual soundness of models, their design, and their suitability for intended use. This includes quantifying model risk drivers and evaluating their impact on model credibility.

Collaborate closely with model developers, treasury, and risk management teams to understand and mitigate model risks.

Requirements:

An academic degree (MSc or PhD) in fields such as Statistics, Mathematics, Physics, Econometrics, Quantitative Finance, or a related discipline.

Strong experience with liquidity risk, interest rate risk in the banking book (IRRBB), and prepayment risk models is highly desirable.

Banking experience.

Excellent written and verbal communication skills in English.

Experience in independent model validation, model development, and/or quantitative research.

Proficiency in programming languages such as R, Python, SAS, Matlab, C++, or SQL.

We offer:

Co-financing of private medical care (Medicover) and Multisport card.

Occasional company integration meetings.

Referral program.

emagine mobile application – easy reporting of working time, quick access to new offers

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