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Job Overview

Quantitative Analyst - Market risk / Credit risk - Sponsorship offered

Location: Kraków, Poland Salary: Competitive
Type: Permanent Start Date: ASAP
Posted: 3 months ago Contact: Richmond Tan

Our client is a top tier leading investment bank based in Krakow, Poland. They are currently expanding their market risk / credit risk team at the moment for Model development/prototyping, model validation/review and also model governance. You would be working alongside international quantitative analyst in one of the most renowned and strongest teams in the market. They are looking across all levels from junior (at least 6 months of experience up to senior managerial levels leading up to 30+ quants)

You would be joining an upcoming team in credit risk/market risk across different disciplines.

Model development / prototyping function will be a part of strategic analytics team in Krakow. He/she will be responsible for developing and maintaining a code library that is designed to support the development of models and methodologies for credit risk / market risk measurement.

  • Undertake model builds, methodology work and general analytics.
  • Model development and prototyping for market risk / credit risk
  • Identify and design algorithms for incorporation into a centralised code library that will support every facet of the model development process.
  • Support the rapid prototyping efforts of developers and architects in the strategic analytics team with subject matter expertise in modelling.
  • Contribute to a wider communication programme of educating modellers in new approaches to modelling through the team and further.

Model validation/review function is to provide 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.

The model governance function is part of the global team responsible for the governance and management of model risk within the bank. This role provides support to the global head of model risk governance in the implementation of global strategy and vision for model risk governance across the investment bank.

  • Support in management of governance forum and working groups that are under the responsibility of the global model risk governance function, including support to the running of the global model oversight committee and the periodic effectiveness review of its sub-committees;
  • Support the development of meaningful model inventory reports and the timely delivery of required model risk reporting requirements to senior management and senior risk committee
  • Support the development of appropriate global model risk governance framework, standards and policy,
  • Support in improvement of the understanding of model risk in order to help the business determine their model risk profile and appetite.
  • Role has global scope and hence customers/stakeholders consist of group, regional and country teams and individuals.