A top tier world renowned bank client is looking to onboard a model review analyst to assess all models used within the group. This role is based in Krakow, Poland.
The function provides the group's management, regulators and shareholders with the necessary assurance that the bank's models are well controlled and fit for purpose.
This is achieved through:
- Best in class technical expertise, analysis and challenge,
- In-depth knowledge of regulatory requirements, business and market practice,
- Examination of model risk including assumptions, limitations and implications of the use of a model.
Model types include asset management models, economic capital models, financial vulnerability models, global markets trading & hedging models, insurance risk models, retail credit risk models, stress testing and scenario analysis models, traded risk models and wholesale credit risk models.
Key accountabilities:
- To work as part of the global model review function to assist in the delivery of model appraisals,
- Undertake analysis to identify modelling assumptions and limitations for the proposed models,
- Assist the team with global functions in documenting findings and appraisal outcomes,
- Work effectively with the other quantitative analysts,
- Assist in reporting requirements for global model review, producing detailed updates for model oversight committees, senior internal stakeholder groups and regulators,
- Mentor less experienced analysts and provide expertise and technical support across multiple projects,
- Work with senior managers across model review to build relationships with model developers / owners.
Requirements:
- Masters / PhD graduate in quantitative finance, mathematics, economics or engineering discipline (Master Degree),
- At least 3 years of experience in the financial/banking industry,
- Knowledge in one or more of the following areas: trading models, risk models, statistical models, scorecard development,
- Knowledge of Basel II / III regulatory framework (BIPRU) and those of other country regulators,
- Experience of developing pricing models / Basel II (PD, EAD, LGD) / risk models,
- Experience of conducting independent model reviews,
- Evidence of successfully defining and shaping rigorous governance frameworks,
- Fluency in English both spoken and written.
We offer:
- Stable job in professional team,
- Interesting path of career in an international organisation,
- Consistent scope of responsibilities,
- Private health care, employees’ benefits.
