Trading Risk Quantitative Analyst - Specialist [rekrutacja online]
Miejsce pracy: Warszawa
We are looking for you if:
- You have a PhD or a MSc in a quantitative field, preferably (financial) mathematics, econometrics or physics,
- You have working knowledge of risk models (Value at Risk, Risks not in Model, etc),
- You are aware of the most important market and regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, IBOR reform etc),
- You have experience with C++ and or Phyton,
- You have strong communication skills and fluency in English,
- You have a constructive attitude and are a pro-active team player,
- You have at least 3 years of experience in a similar role,
- You have an ability to identify problems, analyzing key information and making connections, in order to find appropriate solutions,
- You complete tasks and achieves results in an efficient, timely and high-quality manner, with a focus on execution and delivery of targets and KPIs.
You'll get extra points for:
- Working knowledge of pricing systems, such as Murex, Sophis or Summit,
- CQF/FRM certificate,
- Quant experience and familiarity with derivatives pricing,
- Numerical methods and stochastic calculus,
- CV in English,
- Ito calculus,
- Stochastic differential equations,
- Change of measure,
- Numerical methods,
- Familiarity with regulatory requirements for the trading book exposures (FRTB, RNIME, AVA).
Information about squad:
The Trading Risk Quants are an energetic international team of highly qualified professionals. Our area of expertise is FM Trading pricing models, market risk and counterparty credit risk in the Trading book. Our responsibility is to 1) develop Trading Risk methodologies and model improvements, such as e.g. RNIME methodologies, VaR scenarios, IRC, CCR models etc, across the different asset classes; 2) develop the calculation methodologies for valuation adjustment models for trading pricing models in order to account for the model risk uncertainty; and 3) provide quantitative support to risk managers and traders (in the risk modelling context). We are part of the Financial Risk Model Development department, which comprises of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models, with state of the art modelling methods, tooling and data-processing technologies. The position offers excellent opportunities to excel in what you do and to broaden your modelling and coding skills, as well as exposure to a dynamic and agile international working environment.
- contract of employment
type of contract - Start 7:00 - 9:00 End 15:00 - 17:00
work hours - Zajęcza 4, Warszawa
this is the location of our office
Scope of duties:
70% - Develop trading risk and valuation adjustments methodologies including documentation in English
10%- Write technical reports documenting the quantitative analysis performed in English
10% - Develop and maintain associated internal prototypes and team libraries
10%- Contribute to the set-up over archingmethodologies
Your development
- professional development
- certificates and knowledge development
- training budget
- access to the newest technologies
- international projects
- free English courses
- provate medical care
- 50% funded Multisport Card
- bicycle parking
- chillout rooms
- integration events and Stay Fit program
- stability of employement
- fully equipped workstations
- kitchen