Senior Quantitative Risk Model Analyst

2 dni temu


Warszawa, Mazovia, Polska TN Poland Pełny etat

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Client:Location:

Warsaw, Poland

Job Category:

Other

EU work permit required:

Yes

Job Reference:

9480c638b0e9

Job Views:

12

Posted:

23.01.2025

Expiry Date:

09.03.2025

Job Description:

For a client in the banking industry, we are looking for a person to fill the position of Senior Quantitative Risk Model Analyst.

  • Our Client values stability of employment, therefore we offer you first B2B contract for a period of 12 months with the possibility of extension.
  • Opportunity for professional development in an international and multicultural organization.
  • Learn from peer experienced colleagues by working together on problem analysis and reviewing codebase.
  • Achieve deep understanding of the Business and Technology Infrastructure organization.
  • Design, maintain, and improve models for counterparty credit risk, focusing on the development and calibration of counterparty risk covariance matrices.
  • Calibrate and manage simulation models tailored for assessing counterparty credit risk.
  • Participate in the production and validation processes for covariance matrices, including user acceptance testing.
  • Conduct impact analyses of changes to covariance matrices and counterparty credit risk (CCR) model parameters, evaluating their effects on internal risk management and regulatory measures.
  • Develop and apply methodologies, algorithms, and diagnostic tools to ensure model robustness, stability, reliability, and performance, while maintaining high-quality data standards.
  • Create, update, and refine technical documentation, encompassing project plans, model specifications, mathematical justifications, data analyses, and process controls.
  • Assist in addressing regulatory and internal risk management requirements through analytical support and collaborative efforts.
  • Prepare detailed quantitative reports and analyses for presentation to senior management and regulatory authorities.
Experience:

Minimum of 3 years as a quantitative analyst or risk analyst in the financial industry.

Technical Skills:

Proficiency in Python programming is required.

Domain Knowledge:

Familiarity with counterparty risk is highly desirable.

Mat
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