Your responsibilities

• Undertake model validation and testing activities as dictated by the Global Model Risk Policy including the assessment of model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
• Provide written reports detailing the results of validations highlighting issues identified during the validation.
• Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues.
• Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures.
• Provide coaching and guidance to new starters and junior colleagues.
• Deliver, high quality, timely validation reports that add value to the business.
• Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.
• Communicate across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of model risks and limitations.

Our requirements

• Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering supported by general knowledge of the financial markets.
• Comprehensive knowledge of statistical and financial modelling techniques.
• Knowledge of Traded Risk (Market Risk and/or Counterparty Credit Risk) models and performance metrics (e.g., VaR, Stressed VaR, Incremental Risk Charge, Expected Shortfall, Default Risk Charge, Potential Future Exposure, Exposure at Default) and risks and associated issues.
• Awareness of Basel III regulatory frameworks (e.g., Basel 2.5, FRTB) and associated capital requirements regulations in local jurisdictions.
• Some knowledge of internal procedures and local regulations would be an advantage.
• Experience with at least one of statistical modelling software / programming language, preferably Python, R, MATLAB, C++.
• Experience in model validation, model development and/or quantitative research.
• Experience in presenting recommendations to Senior Management.
• Experience with handling requests from internal/external audit and regulators would be beneficial for more senior roles (Lead AVP /Senior AVP).

What we offer

• Competitive salary

• Annual performance-based bonus

• Additional bonuses for recognition awards

• Multisport card

• Private medical care

• Life insurance

• One-time reimbursement of home office set-up (up to 800 PLN)

• Corporate parties & events

• CSR initiatives

• Nursery discounts

• Financial support with trainings and education

• Social fund

• Flexible working hours

• Free parking