Market Risk Model Specialist

Join us, and revolutionize financial modeling with cutting-edge analytics!

Kraków – based opportunity with hybrid work model (1 day/week in the office)

As a Market Risk Model Specialist, you will be working for our client, a leading financial institution known for its global presence and expertise in managing financial risks. In this role, you will be responsible for developing and enhancing risk models to support the client’s market risk management efforts. Your work will involve validating models, automating processes, and collaborating with various teams to ensure effective implementation of risk management frameworks and compliance with regulatory standards.

Your main responsibilities: Developing and enhancing risk models using real-world data, including existing and new models

• Understanding model features, assumptions, limitations, and proposing validation approaches
• Identifying target market data for validation purposes and undertaking validation within agreed timelines
• Working on market risk models such as Value-at-Risk (VaR), Stressed VaR, RNIV, Stress Testing, Economic Capital, IRC, and FRTB
• Suggesting improvements to existing frameworks to automate systems and enhance efficiency
• Documenting proposed changes and collaborating with on-shore teams for implementation
• Providing clear explanations of model details to non-technical stakeholders
• Assisting in ongoing model usage and explaining significant value changes
• Participating in adhoc projects and delivering information promptly and coherently

You’re ideal for this role if you have:

• A qualification in Maths, Engineering, Science, Finance, or Business Management, or previous experience in risk management
• Strong analytical skills with the ability to process and analyse large volumes of data
• Proficiency in Python and Excel VBA
• A basic understanding of market risk measures and derivative products
• Competence in producing clear, understandable documents
• Effective communication skills with the ability to explain complex concepts to non-technical audiences
• Ability to work under pressure and meet tight timelines
• Flexibility to work within an international team environment
• A desire to learn and grow in a challenging environment

It is a strong plus if you have:

• Knowledge of C++
• Professional qualifications such as FRM, PRM, or CFA Levels
• Good understanding of statistics

#GETREADY  to meet with us!

We would like to meet you. If you are interested please apply and attach your CV in English or Polish, including a statement that you agree to our processing and storing of your personal data. You can always also apply by sending us an email at recruitment@itds.pl.

Internal number #6699