Wholesale Credit Reserves & Loss Modelling

Czym będziesz się zajmować?

• Research, development and testing of wholesale expected credit loss models in line with the IFRS9 standard and country-specific regulatory requirements
• Development of credit loss models used for regulatory stress testing (ICAAP, EBA) as well as internal stress testing
• Implementation of loss models and analytical functions in the internal Python library
• Preparation of detailed quantitative modeling and analysis for risk managers and senior management
• Active participation in the analysis and interpretation of results, incorporating feedback into models and metrics
• Support for business, finance, risk managers, foundational credit risk, model validation, internal audit and banking supervisors in loss model related discussions
• Synthesis and communication of complex risk models and results
• Conducting statistical analysis, quantitative modeling and model risk controls
• Hybrid working model with up to 2 days of work from home per week

• Master's degree from a quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics, Finance)
• 3+ years of experience in quantitative financial modeling
• Hands-on experience with the research, development and implementation of financial models
• Ability to apply sophisticated mathematical and analytical techniques to solve real-world problems
• Familiarity with statistics packages and regression models
• Strong programming skills in Python
• Excellent verbal and written communication skills
• Knowledge of wholesale credit products and financial markets at a financial institution is preferred
• Knowledge of IFRS9/CECL credit reserves calculation, ICAAP/CCAR stress testing or PD/LGD/EAD modeling is a plus
• Good knowledge of Linux is a plus

• Python
• Modelowanie finansowe
• Risk management
• Statistics
• Analiza danych
• Komunikacja

• Modele regresji

• Polski
• Angielski

• 20.1k–34.3k 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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