Model Risk Manager

Perform independent model validations as part of a specialist quantitative team.
Validate Market Risk models such as VaR, Stressed VaR, Incremental Risk Charge, Expected Shortfall, Default Risk Charge.
Assess risks related to model input data quality, performance, and usage.
Conduct back-testing, sensitivity analysis, and stress testing to evaluate model performance.
Ensure compliance with Basel III, OCC guidelines, and internal policies.
Provide critical opinions on conceptual soundness and adequacy of models for intended use.
Collaborate with model developers, treasury, and risk management teams to mitigate model risk.
Note: Detailed project information will be shared during the recruitment process.

Market Risk (Traded Risk), Stress Testing, Pricing Modelling.
Statistical and financial modelling techniques.
Market Risk models and performance metrics (VaR, Stressed VaR, IRC, Expected Shortfall, DRC).
Basel 2.5, FRTB frameworks, and capital requirements.
Internal banking procedures related to risk management (advantage).
Proficiency in at least one statistical modelling language: Python, R, Matlab, C++, VBA.
Experience in model development and/or independent model validation.
Handling requests from internal/external audit and regulators (beneficial).
Excellent written and verbal communication.
Strong team player with ability to work independently.
Ability to mentor junior team members and peer-review work.

Flexible cooperation model – choose the form that suits you best (B2B, employment contract, etc.)
Hybrid work setup – remote days available depending on the client’s arrangements
Collaborative team culture – work alongside experienced professionals eager to share knowledge
Continuous development – access to training platforms and growth opportunities
Comprehensive benefits – including Interpolska Health Care, Multisport card, Warta Insurance, and more
High quality equipment – laptop and essential software provided

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