Your responsibilities

• Undertake model validation and testing activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
• Provide written reports detailing the results of validations highlighting issues identified during the validation.
• Communicate technical model related information and results to Model Owners and Model Users through the course of a validation.
• Contribute to management, regulatory, and external confidence in all models used across the group.

Our requirements

• Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.
• Knowledge in Traded Risk (Market Risk), Stress Testing, and Pricing modelling areas.
• Knowledge of statistical and financial modelling techniques.
• Knowledge of Market Risk models and performance metrics (e.g. VaR, Stressed VaR, Incremental Risk Charge, Expected Shortfall, Default Risk Charge).
• Awareness of Market Risk regulations, e.g. Basel 2.5 and Fundamental Review of the Trading Book (FRTB) frameworks as well as associated capital requirements in local jurisdictions.
• Experience with at least one of statistical modelling software / programming language, preferably: Python, R, Matlab, C++, VBA.
• Experience of developing models and/or conducting independent model validations.
• Some knowledge of internal banking procedures related to risk management in banking would be an advantage.

What we offer

• Competitive salary

• Annual performance-based bonus

• Additional bonuses for recognition awards

• Multisport card

• Private medical care

• Life insurance

• One-time reimbursement of home office set-up (up to 800 PLN)

• Corporate parties & events

• CSR initiatives

• Nursery discounts

• Financial support with trainings and education

• Social fund

• Flexible working hours

• Free parking