Quantitative Analyst

Do you have an analytical mind and like to solve quantitative problems? Can you extract statistical insights from the data? Would you like to work in an international and supportive environment, and to learn industry best practices in one of the world s largest banks? Well, then your best match could be the Model Risk Management Team in Krakow! The Model Risk Management is an international team consisting of Model Risk Stewards, Model Risk Governance and Independent Model Review.

Independent Model Review (IMR) is a specialist quantitative group that aims at independently validating the company s models. Our team structure covers multiple functional areas linked to model risk. The two largest groups are:

• Credits IMR is the department that assesses credit risk models (e.g. IRB, IFRS9, Stress Testing, Economic Capital, application, and behavioural scorecards) as well as climate risk models.
• Markets IMR is the department that assess models which risk is linked to market moves. This includes Market Risk models (e.g. VaR, IRC, RNIV), Counterparty Credit Risk models (e.g. Exposure at Default, CCR RWA), Pricing models (all asset classes); algorithmic trading models, ALCM models, or Valuation models (eg. IPV, CVA, FVA, IFRS13).

We have roles at various levels of experience ranging from entry-level positions for graduates to seasoned professionals. We encourage you to apply regardless of your experience in quantitative model validation, we might just have the right fit for you!

Tasks

• Perform independent model validations as part of a specialist quantitative team within Model Risk Management department, called Independent Model Review.
• Conduct quantitative and qualitative research with a focus on model data, design, performance and implementation for one of our functional streams. We cover several types of models including credit risk models (e.g. IRB, IFRS9, Stress Testing, Economic Capital, application, and behavioural scorecards), climate risk models, as well as market risk models (e.g. VaR, IRC, RNIV, Exposure at Default, CCR RWA, pricing models, algorithmic trading models, ALCM models, Valuation models).
• Assess quantitative or expert-based models to identify their assumptions and limitations. Formulate opinions about conceptual soundness of models design and their adequacy for intended usage. This includes quantification of model risk drivers and assessment of their impact on the model credibility.

Requirements

• Academic degree (MSc or PhD) -- good fits are: Statistics, Mathematics, Physics, Econometrics, Quantitative Finance, or related fields.
• Programming skills -- knowledge of one of the following: R, Python, SAS, Matlab, C++, or SQL.
• Good written and verbal communication skills in English.
• Experience in independent model validation, model building and/or quantitative research (for the more senior roles).
• Professional qualifications (e.g. PRM, FRM, CQF) are beneficial.

Benefits

• Long-term job in one of the largest banking and financial services organizations in the world.
• Interesting career path in an international organization.
• International and diversified team.
• Remote work opportunities and flexible working hours.
• Abundant technical and soft skills training by the best experts.
• Refunding scheme for professional qualifications and relevant studies, language courses.
• A Team of professionals that will help you develop & succeed.
• Exposure to all lines of business and markets.
• Multiple employees benefits include private medical and dental health care, Multisport Card, and life insurance.

Even though this position is remote candidates must reside or are willing to relocate to Poland.