Quantitative Analyst – Climate Risk

3 dni temu

Kraków, Lesser Poland emagine Polska Pełny etat

Location: fully remote or Cracow

Type: Full-time

Rate: depends on your expectations

Languages: English, Polish

Key Responsibilities:

 Risk Model Development & Enhancement:

  • Design, implement, and maintain models for Counterparty Credit Risk (CCR) and Traded Risk, including VaR, Stressed VaR, RNIV, IRC, PFE, EPE, CVA, and Capital Models.
  • Develop Climate Risk models aligned with Science-Based Targets and sustainability objectives.
  • Ensure compliance with Basel III/IV, FRTB, and climate-related regulations.

 Model Validation & Governance:

  • Validate model assumptions and methodologies, assessing performance and regulatory alignment.
  • Document model development processes and results for internal governance and regulatory bodies.

 Climate Risk Integration:

  • Support the integration of climate risk factors into existing credit exposure models and stress-testing frameworks.
  • Leverage climate scenario analysis to evaluate physical and transition risks.

 Programming & Automation:

  • Develop Python-based tools, libraries, and analytics to enhance model efficiency and risk measurement processes.
  • Optimize and automate existing risk workflows and reporting processes.

 Cross-Functional Collaboration:

  • Work closely with traders, risk managers, climate strategy teams, and IT to deliver risk insights and ensure robust risk management frameworks.
  • Translate complex quantitative outputs into actionable insights for senior stakeholders.

What We're Looking For:

 Education & Qualifications:

  • Degree (MSc/PhD preferred) in Quantitative Finance, Mathematics, Statistics, Engineering, or a related field.
  • Professional certifications: GARP SCR, FRM, or equivalent Climate Risk credentials.

 Experience:

  • Proven experience (4+ years) in quantitative risk modeling, preferably within investment banking or consulting.
  • Hands-on experience in Climate Risk modeling, Climate Scenario Analysis, and alignment with Net-Zero/SBTI targets.
  • Deep understanding of Counterparty Credit Risk (CCR) and Traded Risk models under FRTB and Basel frameworks.

 Technical Skills:

  • Proficient in Python for model development (NumPy, Pandas, SciPy, scikit-learn).
  • Experience with SQL, MATLAB, or R is a plus.
  • Familiarity with climate data sets and sustainability reporting frameworks (TCFD, EU Taxonomy, etc.).

 Soft Skills:

  • Strong analytical and problem-solving abilities.
  • Excellent communication skills—capable of presenting technical content to non-technical stakeholders.
  • Collaborative mindset, able to work across multidisciplinary teams.

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