Quantitative Risk Analyst

6 godzin temu


Warszawa, Mazovia, Polska HAYS POLAND Sp. z o.o. Pełny etat
Job Description

This role is focused on credit risk methodology development within Wholesale Credit Risk GRA team. The primary responsibility will be to support stress-testing (ST) and IFRS 9 methodology development, with the opportunity to work on other areas as well.

The successful candidate will need to develop a strong understanding of risk data flows from customer and product systems through to finance and regulatory reporting systems. They will work closely with finance, business, and other risk teams to produce portfolio and impact analysis as well as UAT testing. Additionally, they will be responsible for implementation support for proposed credit risk methodology and/or models.

Key Accountabilities:

  • Work with PD, EAD, LGD, scoring models, and RWA/ECL calculation frameworks, involving data sourcing, model development, implementation, and execution.
  • Design impact analyses for the calculation of Risk Weighted Asset (RWA), Expected Loss (EL), and other measures.
  • Develop and test complex programs/dashboards/tools according to business specifications.
  • Liaise with an internal Independent Model Review team during model development, monitoring, and review processes.
  • Support execution of periodical IFRS9/ST regulatory exercises, run internal processes, analyze results produced by IFRS9/ST engines.


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