Senior Quantitative Risk Model Analyst

As a Senior Quantitative Risk Model Analyst, you will be working for our client, a leading global financial institution.
You will be responsible for developing and maintaining counterparty credit risk models used for advanced Basel regulatory capital calculations, CCAR/ICAAP estimations, and internal risk measures.
This role requires a strong quantitative background and programming expertise to enhance risk models and ensure regulatory compliance. You will collaborate with international teams and contribute to model development, impact analysis, and technical documentation to support key financial risk processes.

Your main responsibilities: Develop, maintain, and enhance models for counterparty credit risk, particularly in constructing and calibrating risk covariance matrices

• Calibrate and maintain simulation models for counterparty credit risk assessment
• Contribute to the production and user acceptance testing of covariance matrices
• Perform impact analysis of changes in covariance matrices and CCR model parameters
• Develop and implement methodologies, algorithms, and diagnostic tools for testing model robustness, stability, and performance
• Maintain and enhance technical documentation, including mathematical derivations, data analyses, and process controls
• Support various regulatory and internal risk management requirements
• Prepare reports and detailed quantitative analyses for senior management and regulatory bodies

You’re ideal for this role if you have:

• 3+ years of experience as a quantitative analyst or risk analyst in the financial industry
• Advanced programming skills in Python
• Strong understanding of counterparty credit risk methodologies
• Excellent mathematical and analytical skills
• Experience with risk model development and testing methodologies
• Ability to work in a fast-paced environment and manage complex data sets
• Strong verbal and written communication skills for presenting technical content
• Familiarity with Basel regulatory capital calculations and CCAR/ICAAP processes
• Experience working with global teams in a financial institution
• Attention to detail and a structured approach to problem-solving

#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 #6724