Specialist, Counterparty Risk Modelling
iNautix Technologies
Wroclaw, DS, Poland
15 d. temu


BNY Mellon Science represents the strategic centre of excellence for quantitative and analytical work focused on risk mitigation across BNY Mellon globally, delivering valuable insight and risk quantification across the firm.

BNY Mellon Science has grown rapidly and today represents a highly motivated and engaged team of skilled professionals with expertise in financial industry practices and regulation demanding deep quantitative talent.

  • The team works closely with colleagues across BNY Mellon to support the firm’s Capital Adequacy, Market Risk and Enterprise Risk modelling and data analytics;
  • alongside quantitative support for the annual Comprehensive Capital Analysis and Review (CCAR) Stress Test. The resources within BNY Mellon Science are working towards supporting other innovative quantitative and analytical solutions for the wider firm as a part of their strategic objectives for 2018 and into the future.

    Within the Counterparty Risk Modelling team we are looking for a specialist responsible for model development. The specialist will become a member of an extended team geographically located in Wrocław and New York.

    The specialist will also be involved in projects related to upgrading and developing pricing tools, producing risk reports, advising on counter party credit risk and engaging in CCAR Stress Testing and other regulatory projects. Responsibilities :

  • Contribute to highly visible enterprise-wide modelling programs. The models make estimates that represent key inputs to management decisions and are reported to Senior Management and the Board of Directors on a regular basis.
  • The incumbent will be responsible for ensuring that models use methodologies that are theoretically sound, with modelling choices, assumptions and parameters that are well justified and supported.
  • The incumbent will participate in various counterparty risk model development stages including defining theoretical frameworks, collecting data needed, supporting assumptions, prototyping, documentation, quality assurance, benchmarking, and post-implementation support.
  • The incumbent will be required to collaborate with desk risk managers, model validation, information technology groups, and market data groups.
  • This role has no formal supervisory responsibilities. The specialist is primarily responsible for the accuracy and quality of their own work.
  • Qualifications

  • A degree in a quantitative discipline, including engineering, mathematics, physics, statistics, economics.
  • Either formal education or work experience in fields of financial engineering and risk management.
  • Must have good programming skills in at least one of Python, SQL, or C++. Prefer to have knowledge in other languages like R, Matlab, Java, etc.
  • The candidate must have excellent scientific and technical documentation and presentation skills, and the skills to explain abstract theoretical concepts to a non-
  • expert audience in easy-to- understand language.

    If you apply for this role this means you agree with the following statement :

    Through my application for a role with BNY Mellon (Poland) sp. z.o.o. (the Company) I hereby authorize the Company to process my personal data for the purposes of recruitment.

    Furthermore I declare that I am aware of the voluntary submission of data and I am informed about the right to access the data and the right to correct it, pursuant to the Personal Data Protection Act of 29 August 1997 (Journal of Laws Dz.

    U No. 133, item 883) . I authorise the Company to process my personal data for future recruitment processes.Furthermore, I authorize BNY Mellon and its’ affiliates, Taleo (UK) Limited to process my personal data.

    BNY Mellon and affiliates registration details.-BNY Mellon (Poland) sp. z.o.o Registered office Swobodna 3, 50-088 Wroclaw

    The Bank of New York Mellon (International) Limited 1 Canada Square, London, E14 5AL

    The Bank of New York Mellon SA / NV 46 Rue Montoyerstraat, B-1000 Brussels, Belgium

    Taleo (UK) Limited Registered office - 78-586 Chiswick High Road, London W4 5RP, United Kingdom,

    Please note that during the recruitment process you may be asked to provide further information and supporting documents.

    The information provided may be verified and reviewed, to the extent permitted by the law, as to their veracity and accuracy.

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