Quantitative Risk Analyst

  • Location

    Kraków, Lesser Poland

  • Sector:

    Banking & Financial Services

  • Job type:

    Permanent

  • Salary:

    Negotiable

  • Contact:

    Gorgui Niass

  • Contact email:

    trdaxtraadresp@thesrgroup.com

  • Job ref:

    PR/206974_1646151550

  • Published:

    3 months ago

  • Expiry date:

    2022-03-31

Key Responsibilities …

  • Model development & model prototyping of Market Risk models/Counterparty Credit Risk Models/Wholesale Credit Risk models
  • Assess and validate performance of risk models using real world data
  • Understand features, assumptions, and limitations of the models, propose a validation approach, identify target market data and undertake validation
  • Identify areas for improvements, automation, and enhanced controls
  • Document enhancements in accordance with the onshore standards
  • Participate in ad hoc projects
  • Articulate our modelling approach to internal and external stakeholders in a non-technical language
  • Assist in the on-going application of the models in a business-as-usual risk management framework.

Your Experience...

  • 1 - 5 years' experience in roles involving quantitative finance
  • Ph.D./M.Sc. candidate/holder in Physics/Mathematics/Quantitative Finance or related disciplines
  • Strong analytical skills: any experience in market risk analysis is a plus
  • Good understanding of statistics, linear algebra, analysis
  • Excel and VBA skills are a pre-requisite
  • Familiarity with sophisticated tools for numerical analysis (eg. Mathematica, Matlab, Python)
  • Basics of market risk measures (VaR, ES, PnL) and derivatives (Forwards/Futures, Options, Swaps)
  • Professional qualifications such as FRM/PRM/CFA Levels are a plus
  • Ability to work under pressure and to tight timelines is essential
  • Competent in the production of information, and the ability to process and analyse large data
  • Open personality and effective written and oral communication skills in English
  • Ability to work in a diverse international team

Please apply here, or if you would like more information please get in touch!

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