Credit Quantitative Analysis Associate
Collabera
Warsaw, Malopolskie, Poland
‎19 godz. temu

Job Description

Credit Quantitative Analysis Associate

Warsaw

We are delighted to present this opportunity for our global bank and financial services client, who is looking to recruit a Credit Quantitative Analysis Associate

Team :

The Risk group is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

The CRMA Department at client is seeking a candidate to join its Credit Quantitative Analysis team (CQA). CQA is responsible for developing quantitative pricing and risk management models for credit risk and hedge fund risk.

Credit Quantitative Analysis Associate

Client is looking for outstanding quantitative PhD or Master Candidate to join the Credit Quantitative Analysis team in Warsaw at the Analyst / Associate level.

As a Credit Quantitative Analysis Associate you will be responsible for :

Development of models and simulations for stress testing regimes and guidelines requested by Global regulators. Will require interaction with regulators, previous experience and good communication skills are advantageous.

Development of pricing and simulation models across asset classes, notably for interest rate, equities, commodities, funding, FX, and credit derivatives.

Capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-

return tradeoff in a credit risky portfolio of assets.

Development of prototypes of models and interaction with the IT group in developing and testing production models.

Qualifications

Strong quantitative skills with a PhD or Masters in a quantitative discipline (Physics, Mathematics, Applied Mathematics, Computer Science, Statistics, Engineering, etc.)

Knowledge of derivative pricing and financial economics

Programming experience in Matlab, C++, C#, or Java

Communication skills and teamwork are important attributes for successful candidates.

As a Client Assets Associate your skills / competencies will be :

Development of quantitative risk models (Credit Risk, Market Risk or CVA)

Programming experience of production level code deployment, testing and release process ( C++, C, R, Matlab or other)

Strong quantitative skills (mathematics, statistics and probability)

Quantitative research experience both independent and collaborative

Ownership and oversight of methodology owning code, development of modelling approach and responsibility for validation process

Stress testing experience working on internal or regulatory stress tests

Derivative pricing experience and knowledge of numerical technical (eg Monte Carlo pricing)

Cross asset product experience (Interest rates, Credit, Foreign Exchange, Commodities etc)

Strong communication skills both verbal and written

Genuine interest in the role and clear ability to articulate their interest in the role

Job Requirements

Credit Quantitative Analysis Associate

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