Market Risk Quantification Specialist

2 dni temu


Warsaw, Polska myGwork Pełny etat
Job Summary

This is a challenging role within the Market Risk Analytics team (MRA) at Standard Chartered Bank, an inclusive employer and a member of myGwork. The MRA team is responsible for designing and implementing market risk models and methodologies. The successful candidate will contribute to the development of market risk models, including definition of model methodology, model implementation, model testing, and model documentation.

Key Responsibilities
  • Contribute to the development of market risk models used for regulatory capital and risk management.
  • Analyze key model performance metrics such as hypothetical backtesting and P&L attribution test (PLAT).
  • Support risk managers in all queries related to VaR and other portfolio risk metrics.
  • Test production systems for VaR model changes, system migrations, and new products.
  • Liaise with key business stakeholders on Market Risk Model changes.
  • Understand local and global regulatory requirements and be aware of market environment/practices that will impact portfolio risk metrics.
  • Support the business through the development and maintenance of business decision models for market and traded credit risk.
Requirements
  • At least MSc in mathematics, physics, finance, or engineering. PhD preferred.
  • 3-5 years experience in a quantitative role preferably in finance.
  • Very good English.
  • Proven experience in fields related to mathematics, financial engineering, model analysis and testing, and technical documentation.
  • Coding in Python, Haskell, C++.
About Standard Chartered

We're an international bank, nimble enough to act, big enough for impact. For more than 170 years, we've worked to make a positive difference for our clients, communities, and each other. We question the status quo, love a challenge, and enjoy finding new opportunities to grow and do better than before. If you're looking for a career with purpose and you want to work for a bank making a difference, we want to hear from you. You can count on us to celebrate your unique talents and we can't wait to see the talents you can bring us.

Our purpose, to drive commerce and prosperity through our unique diversity, together with our brand promise, to be here for good, are achieved by how we each live our valued behaviors. When you work with us, you'll see how we value difference and advocate inclusion.

We're committed to creating a workplace that's inclusive and diverse, where everyone feels valued and respected. We believe that our differences are what make us stronger, and we're proud to be a member of myGwork, the largest global platform for the LGBTQ+ business community.



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