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.
• Communicate technical model related information and results to Model Owners and Model Users through the course of a validation.

Our requirements

• Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.
• Knowledge of Probability Theory, Statistics, Econometrics, Financial Mathematics, and Pricing models.
• Basic knowledge of financial products and risks associated to them.
• Knowledge of fundamental risk methodologies (e.g. VaR, Expected Shortfall) and performance metrics.
• Basic knowledge of Market Risk regulations (e.g. Fundamental Review of the Trading Book and Basel 2.5 frameworks) would be desirable.
• Experience with some statistical modelling software / programming language, e.g. Python, R, Matlab, C++, VBA.

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