Quantitative Analyst - Risk Capital Model Development
Location(s): Warsaw, Mazovia, Poland
PLN 165K-411K Mid-level Full Time
Tasks
- Build correlation and dependency and diversification models
- Communicate quantitative results to stakeholders and resolve analytical issues
- Conduct model testing including benchmarking backtesting and sensitivity analysis
- Conduct risk model methodology design development and enhancement
- Coordinate with independent model validation internal audit and regulators
- Develop and implement risk capital models
- Implement models into production systems with risk technology and production teams
- Perform loss recovery and capital allocation modelling
- Perform model lifecycle activities including implementation and monitoring
- Prepare model documentation for model risk governance
- Run Monte Carlo simulation for risk capital estimation
Perks/Benefits
- Additional day off for volunteering
- Annual discretionary incentive award
- Cafeteria Benefits Platform
- Discounts and special offers
- Employee assistance program
- Employer Paid Parental Leave
- Employer paid pension plan
- Holidays allowance
- Hybrid work model
- Life insurance
- Private medical care
- Sport card
- Support for sport and cultural activities
- Team building events
Skills/Tech-stack
Backtesting | Benchmarking | C plus plus | C# | Capital allocation | Capital modeling | Correlation modeling | Dependency Modeling | Large-scale | Large-scale simulation | Loss estimation | Loss modeling | Loss recovery | Loss recovery modeling | Model Documentation | Monte Carlo | Monte Carlo Simulation | Numerical Methods | Python | Recovery Modeling | Risk Capital | Risk Capital Modeling | Sensitivity Analysis | Statistical modeling | Stochastic Processes | Stress Loss | Stress loss estimation
Education
Roles
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