Senior Model Risk Analyst
HAYS POLAND Sp. z o.o.
Warszawa, Polska
6 d. temu
source : Jobs.pl

Your new company

International financial company.

Your new role

Being a pioneer on that role in Warsaw's office and cooperation with team members from Denmark and Finland (majority of them holds PhD degree).

You will add value by conducting independent model validation activities intended to verify the soundness of models used for traded and non-traded market risk (i.

e. IRRBB), liquidity risk, and operational risk. You will play a key role in ensuring that models are conceptually sound, mathematically correct, and appropriate for intended business use.

Scope of duties :

  • Help ensure robust management of company's model risk - traded and non-traded market risk (i.e. IRRBB), liquidity risk, and operational risk.
  • Validate risk models including models for market risk, Interest Rate in the Banking Book, liquidity risk and operational risk
  • Ensure that models and model validation activities meet regulatory requirements
  • Drive and participate in the validation of new and changed models
  • Use your technical skills to apply and develop validation techniques to verify that models function well and reflect economic and business realities
  • Collaborate with and challenge model owners as well as developers on design and implementation of models
  • Collaborate with colleagues across the group (from Denmark & Finland) in reporting validation outcomes to senior management
  • What you'll need to succeed

  • Academic degree preferably at PhD level or equivalent (preferable but it's not necessary, with proper professional experience MA / MSc is sufficient) in a quantitative field, such as finance, economics, mathematics, statistics, physics or similar,
  • Full proficiency in applying econometric, mathematical and statistical models and techniques,
  • Preferably 8+ year experience (and not less than 5+ years) in the financial sector working with risk models as developer, user or validator,
  • Knowledge of asset and liability management, with special focus on IRRBB and liquidity risk is an advantage, however specific expertise is not a requirement,
  • Strong analytical skills, and capable of applying multidisciplinary quantitative methods,
  • Solid experience in programming Python, MATLAB and SQL, but experience in other programming languages is also valuable.
  • What you'll get in return

  • Contract of Employment,
  • Pioneer role in Warsaw's office, with possibility to develop towards expert role
  • Possibility to work in Scandinavian work culture,
  • Benefits package - 260 PLN / month for spending pursuant to your needs
  • What you need to do now

    If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now.

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