Quantitative Risk Model Expert for Global Financial Institution

5 days ago


Warszawa, Mazovia, Czech Republic ITDS Full time

As a seasoned Quantitative Risk Model Analyst, you will be working with our client, a leading global financial institution.

You will be responsible for developing and maintaining counterparty credit risk models used for advanced Basel regulatory capital calculations, CCAR/ICAAP estimations, and internal risk measures. This role requires a strong quantitative background and programming expertise to enhance risk models and ensure regulatory compliance.

You will collaborate with international teams and contribute to model development, impact analysis, and technical documentation to support key financial risk processes.

Main Responsibilities:

  • Develop, maintain, and enhance models for counterparty credit risk, particularly in constructing and calibrating risk covariance matrices
  • Calibrate and maintain simulation models for counterparty credit risk assessment
  • Contribute to the production and user acceptance testing of covariance matrices
  • Perform impact analysis of changes in covariance matrices and CCR model parameters
  • Develop and implement methodologies, algorithms, and diagnostic tools for testing model robustness, stability, and performance
  • Maintain and enhance technical documentation, including mathematical derivations, data analyses, and process controls
  • Support various regulatory and internal risk management requirements
  • Prepare reports and detailed quantitative analyses for senior management and regulatory bodies

Key Requirements:

  • 3+ years of experience as a quantitative analyst or risk analyst in the financial industry
  • Advanced programming skills in Python
  • Strong understanding of counterparty credit risk methodologies
  • Excellent mathematical and analytical skills
  • Experience with risk model development and testing methodologies
  • Ability to work in a fast-paced environment and manage complex data sets
  • Strong verbal and written communication skills for presenting technical content
  • Familiarity with Basel regulatory capital calculations and CCAR/ICAAP processes
  • Experience working with global teams in a financial institution
  • Attention to detail and a structured approach to problem-solving

We Offer:

  • A stable and long-term cooperation with very good conditions
  • An opportunity to enhance your skills and develop your expertise in the financial industry
  • The chance to work on strategic projects available in the market
  • The possibility to define your career roadmap and develop yourself in the best possible way
  • Participation in Social Events, training, and work in an international environment
  • Access to an attractive Medical Package
  • Access to Multisport Program

#GETREADY



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