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Quantitative Market Risk Analyst

2 tygodni temu


Poznań, Polska DCG Pełny etat

Responsibilities:

  • Conduct in-depth analyses related to regulatory requirements for Legal Entities in the EMEA region
  • Maintain and refine quantitative analyses for methodologies related to Equity Risk simulations
  • Prepare high-quality documentation with statistical justifications and liaise with the model validation team
  • Work with existing market risk models, identifying and addressing weaknesses, as well as implementing model enhancements for new business needs
  • Collaborate with risk management teams, front office, technology, and control groups to enhance market risk models and support related production processes
  • Generate detailed reports and quantitative analysis for senior management and regulatory bodies 

Requirements:

  • Postgraduate degree in a quantitative field such as Mathematics, Physics, Statistics, Data Science, or Engineering
  • Strong knowledge and experience in market risk modeling, derivatives pricing, exotic products, risk management practices, and financial regulations (Basel 2.5, Basel 3)
  • Proficiency in statistical techniques used in Financial Engineering , such as Principal Component Analysis (PCA), Parametric Approximations, and Expected Weighted Averages
  • Ability to interpret and translate regulatory guidelines into technical specifications for implementation, testing, validation, and compliance
  • Advanced programming skills in Python, VBA, SQL, Unix, and other relevant tools
  • Strong analytical mindset and problem-solving abilities, with a keen interest in quantitative risk modeling and financial markets
  • Excellent oral and written communication skills, with the ability to present complex quantitative concepts to diverse stakeholders
  • PhD or MSc qualification in a relevant field is strongly preferred

 

Offer:

  • Private medical care
  • Co-financing for the sports card
  • Constant support of dedicated consultant
  • Employee referral program