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Job Description

A top tier global investment bank has set up a new global function in Krakow (Poland) and are looking for eager and ambitious individuals to join the independent model review teams and the global risk analytics teams. 

Independent Model Review Key Accountabilities:    

  • To work as part of the Global IMR function to assist in the delivery of Model appraisals,     
  • Undertake analysis to identify modelling assumptions and limitations for the proposed models,    
  • Assist IMR global functions in documenting findings and appraisal outcomes,     
  • Work effectively with the other IMR (local and other sites) quantitative analysts, 
  • Assist in reporting requirements for Global IMR, 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 IMR 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.    

Global Risk Analytics Key Accountabilities

  • Assess and validate the performance of risk models using real world data - the model could be an existing or a new model
  • Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines  
  • Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion
  • Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes
  • Identify areas for efficiency improvements, automation and enhanced controls in existing processes
  • Document proposed changes and agree with the on-shore process team prior to implementation. Document all process changes and improvements to reflect the latest process  
  • Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes. 

Requirements:   

  • Qualification in Maths/Engineering/Science/Finance/Business Management
  • Strong analytical skills and experience in market risk analysis
  • Professional qualifications such as FRM/PRM/CFA Levels are an added plus
  • Good understanding of statistics
  • Excel and VBA skills are a pre-requisite
  • Familiarity with sophisticated tools for numerical analysis (eg. Matlab, C++, C#, Python, SAS)
  • Basic understanding of market risk measures and derivative products
  • Ability to work under pressure and to tight time-lines is essential
  • Strong analytical skills
  • Competent in the production of information, and the ability to process and analyse large volumes of data
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents
  • Desire to learn and grow in a challenging environment