Quantitative Analyst

2 days ago

Kraków, Lesser Poland, Czech Republic beBeeQuantitative Full time €55,000 - €95,000
Independent Model Validation Role

This specialist quantitative position involves carrying out independent validations of the bank's model landscape, identifying and communicating model limitations and issues.

The successful candidate will provide assurance that models and tools developed, maintained, and used within the group are fit for their intended purposes and compliant with applicable internal and supervisory expectations.

The role involves working in a global function headed up by the Chief Model Risk Officer (CMRO), ensuring independence from model developing areas. Model Risk Management teams are based in each region for local subject matter expertise, guiding, reviewing, and challenging models used in multiple locations.

A key aspect of this role is covering various model types, including Credit Risk models, IFRS9 models, Stress Testing and Scenario Analysis models, Economic Capital models, Financial Vulnerability models, Pricing models, Traded Risk models, Insurance Risk models, and non-financial areas such as transaction monitoring, customer selection, and human resources.

Required Skills and Qualifications
  • Mastery of quantitative disciplines like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics, or Engineering supported by general knowledge of the financial markets.
  • Familiarity with Stochastic Calculus, Probability Theory, and Statistics in finance.
  • Understanding of financial products/derivatives and associated risks.
  • A grasp of curve construction models and numerical techniques (Finite Difference Methods, Monte Carlo methods, etc.)
  • Experience with statistical modelling software / programming languages, preferably Python, R, MATLAB, or C++.
  • Some experience in model validation, development, and/or quantitative research is beneficial.
Key Benefits

This role offers a unique opportunity to work in a global function, providing independence from model developing areas and contributing to the bank's overall risk management strategy.

The successful candidate will have the chance to develop their skills and expertise in model validation and risk management, working closely with experienced professionals in the field.

Additionally, this role provides a comprehensive understanding of the bank's model landscape and its applications, making it an attractive opportunity for those interested in advancing their careers in risk management and quantitative analysis.

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