VP: Quantitative Market Risk Analyst, Warsaw

This position will provide a broad set of opportunities to a suitable person to be in the centre of all major developments in the field of market risk modelling. In this role the person will be responsible for critical regulatory deliverables involving complex market risk models. For someone with the right competency, keen interest, high degree of motivation and energy, the role offers the opportunity for immense professional development within the bank's growing market risk modelling group.

Job Description

• Research, support, enhance and maintain market risk models; design and develop in-house software for quantitative analysis.
• Develop methodology for quantitative analysis required on various work streams for “Fundamental Review of the Trading Book (FRTB)” implementation within the bank.
• Additionally, work with existing market risk models, and propose solutions where weaknesses are identified in testing, or where new business needs require model enhancements. For example, cross-asset market risk data analysis, model enhancement related to stress period identification used in Stress VaR (SVaR) calculation, risk factor covariance matrix construction and user acceptance test.
• Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes.
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

Qualifications

• Keen interest in banking and finance, especially in the field of quantitative market risk modelling.
• Minimum experience of 3 years in one or more of the following fields: quantitative risk modelling, derivatives pricing, exotic products, market risk management practices, regulation, numerical computation, statistics.
• Excellent oral and written communication, strong project management skills and ability to confidently interact with stakeholders at all levels are required.
• Good hands-on IT skills, for example, with Python, R, VBA, C/C++, SQL, Unix.
• Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, and engineering). PhD or equivalent degree is strongly preferred.

We offer:

• Opportunity to work in an international, multi-cultural environment
• Cooperation with a high quality team in a challenging area of the financial industry with one of the world's leading companies
• Access to the latest technologies and tools
• Opportunity to learn through participation in various projects and cross training
• Attractive conditions of employment and benefits
• High exposure coming from direct cooperation with senior management