Senior Quantitative Risk Model Analyst

Senior Quantitative Risk Model Analyst

Warsaw based opportunity with possibility to work 90% remotely! (1-2 visits in office per month).

As a Senior Quantitative Risk Model Analyst,  you will be working for our client, a global financial institution supporting millions of customers across various markets. You will join a team that develops and maintains advanced models for counterparty credit risk, covering a wide range of financial instruments. The project involves contributing to the development and calibration of simulation models, ensuring compliance with global regulatory standards, and enhancing internal risk management frameworks through robust quantitative methods.

Your main responsibilities: Develop and calibrate models for counterparty credit risk, focusing on covariance matrix construction

• Enhance simulation models used for exposure calculations of derivatives and financing transactions
• Conduct impact analysis of model changes on risk metrics and regulatory capital
• Perform user acceptance testing and support production releases of model updates
• Design and implement algorithms and diagnostic tools to assess model performance and robustness
• Maintain and update technical documentation, including model methodology and validation reports
• Collaborate with internal stakeholders to meet regulatory and risk management expectations
• Prepare quantitative reports and present findings to senior management and regulatory bodies
• Support internal audits and regulatory reviews with detailed model insights
• Contribute to continuous improvement of modelling processes and data quality controls

You’re ideal for this role if you have:

• At least 3 years of experience as a quantitative or risk analyst in the financial sector
• Advanced programming skills in Python
• Solid understanding of counterparty credit risk modelling
• Strong background in mathematical modelling and statistical analysis
• Familiarity with simulation techniques for risk modelling
• Experience working with regulatory frameworks such as Basel or CCAR
• Proficiency in analyzing large datasets and maintaining modelling data integrity
• Excellent written and verbal communication skills in English
• Ability to document complex processes and models clearly and thoroughly

#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 #7056