Model Developer - Trading Risk Junior Specialist
Warsaw, Poland
1 d. temu

We are looking for you if :

  • You have a PhD or a MSc in a quantitative field, preferably (financial) mathematics, econometrics or physics,
  • You have working knowledge of risk models (Value at Risk, Risks not in Model, etc),
  • You are aware of the most important market and regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, IBOR reform etc),
  • You have experience with C++ and or Phyton,
  • You have an ability to clearly and succinctly express ideas, facts and opinions and you are able to express them fluently.
  • also in English, both in speaking and writing, supported by appropriate tools,

  • You can complete tasks and achieves results in an efficient, timely and high-quality manner, with a focus on execution and delivery of targets and KPIs,
  • You have a constructive attitude and are a pro-active team player,
  • You have ability to identify problems, analysing key information and making connections, in order to find appropriate solutions.
  • Additionally, you will score for :

  • Working knowledge of pricing systems, such as Murex, Sophis or Summit,
  • CQF / FRM certificate,
  • Quant experience and familiarity with derivatives pricing,
  • Numerical methods and stochastic calculus,
  • CV in English,
  • Ito calculus,
  • Stochastic differential equations,
  • Change of measure,
  • Numerical methods.
  • Created with Raphaël 2.1.270%Develop trading risk and valuation adjustments methodologies including documentation in English

    Working tasks

  • Develop trading risk and valuation adjustments methodologies including documentation in English
  • Write technical reports documenting the quantitative analysis performed in English
  • Develop and maintain associated internal prototypes and team libraries
  • Contribute to the set-up overarching methodologies
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