Counterparty Credit Risk Model Analyst

Czym będziesz się zajmować?

• Develop, maintain and enhance models for counterparty credit risk, especially construction and calibration of counterparty risk covariance matrices and identification of stress period
• Calibrate and maintain simulation models for counterparty credit risk
• Contribute to production and UAT releases of covariance matrices
• Perform impact analysis of changes in covariance matrices in reference to internal risk management and regulatory measures (EPE, PFE, CVA)
• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance and data quality control
• Develop, maintain and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls
• Support tasks in response to regulatory and internal risk management requirements
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators
• Provide live-deal analysis: calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels and determining initial margin requirements
• Conduct impact analysis for capital optimization initiatives and new counterparty risk regulatory rules

• 2+ years of experience as a quantitative analyst or risk analyst in the financial industry
• Solid programming skills with experience of statistical/data analysis techniques and numerical implementations, plus familiarity with modern software development tools
• Excellent mathematical skills, including stochastic calculus, probability and statistics
• Passionate interest in finance with strong knowledge of regulatory measures of counterparty credit risk and regulatory models
• Comfortable interfacing with business clients
• Proficiency in handling very large data sets
• Proficient in Microsoft Office with an emphasis on MS Excel
• Clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills, capability to handle multiple projects at once
• Master or higher degree strongly preferred, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, finance)

• Rachunek stochastyczny
• Ryzyko kredytowe kontrahenta
• Analiza danych
• Statystyka
• Programowanie

• Praca z dużymi zbiorami danych
• MS Excel
• Zarządzanie projektem
• Komunikacja

• Polski
• Angielski

• 13.8k–23.4k PLN brutto/m (Umowa o pracę)
• Umowa o pracę - Elastyczne godziny pracy (100%)
• Praca zdalna: Brak
• Pakiet medyczny, Ubezpieczenie, Pakiet sportowy

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