Senior Quantitative Analyst - Risk Capital Model Development
Location(s): Warsaw, Mazovia, Poland
PLN 241K-411K Senior-level Full Time
Tasks
- Conduct sensitivity analysis
- Coordinate remediation activities
- Design model methodology
- Develop concentration risk models
- Develop counterparty credit risk models
- Develop credit risk models
- Develop market risk models
- Develop risk capital models
- Document model assumptions
- Enhance risk capital models
- Estimate stress losses
- Implement models in production systems
- Maintain risk capital models
- Monitor model performance
- Perform Benchmarking
- Perform backtesting
- Support independent model validation
- Support internal audit reviews
- Support regulator exams
Perks/Benefits
- Additional paid paternity leave
- Employee assistance program
- Employer Paid Parental Leave
- Employer paid pension contribution
- Flex benefits cafeteria
- Hybrid work model
- Life insurance
- Private medical care
- Sport card subsidy
- Volunteering day off
Skills/Tech-stack
Backtesting | C# | C++ | Capital allocation | Correlation modeling | Dependency Modeling | Loss modeling | Model Governance | Model Risk Management | Model risk | Monte Carlo | Monte Carlo Simulation | Numerical Methods | Python | Recovery Modeling | Risk Management | Sensitivity Analysis | Statistical modeling | Stochastic Processes | Stress Testing
Education
Roles
Analyst | Developer | Model Developer | Quantitative Analyst | Risk Analyst | Risk Model Developer
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