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Collateral Risk Quant, AVP

Employer
Charles Levick
Location
Kraków, Poland
Salary
Negotiable
Closing date
Jan 10, 2020

View more

Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Quantitative Finance experienced individual required who possesses strong analytical skills to include Excel, VBA and preferably Python knowledge.

Positioned within a global analytics risk business, the function has responsibility for model design and management of broad classes of financial and operational risk. They are tasked with setting standards and providing mission-critical, cutting-edge tools to help identify, measure and manage risk, as well as enhance an enterprise-wide compliance. This is a role responsible for supporting a robust development and maintenance of collateral risk models and methodologies.

Joining a team of impressive Quantitative Analysts you will have the following key responsibilities:
* Build, assess and validate performance of risk models using real world data
* Understand features, assumptions and limitations of the models, propose a validation approach, identify target market data and undertake validation
* Identify areas for improvements, automation and enhanced controls
* Document enhancements in accordance with the on-shore standards
* Participate in ad hoc projects
* Articulate our modeling approach to internal and external stakeholders in a non-technical language
* Assist in the on-going application of the models in a business-as-usual risk management framework.

Requirements:
* Relevant and transferable experience in roles involving quantitative finance
* Ph.D./M.Sc. candidate/holder in Physics/Mathematics/Quantitative Finance or related disciplines
* Strong analytical skills, good understanding of statistics, linear algebra, analysis
* Excel and VBA skills are a pre-requisite, experience in Python is highly valued
* Basics of risk measures (VaR, ES, PnL) and derivatives (Forwards/Futures, Options, Swaps)
* Professional qualifications such as FRM/PRM/CFA Levels are a plus
* Competent in the production of information, and the ability to process and analyse large data
* Open personality and effective written and oral communication skills in English
* Ability to work in a diverse international team

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