Stress Testing Senior Analyst - Poland

Charles Levick
Kraków, Poland
Jan 08, 2020
Jan 10, 2020
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Global Investment Bank is looking for highly analytical individual who has 2-4 years' experience in quantitative finance, a good understanding of statistics and linear algebra and experience of development and implementation of statistical risk to join their team in Poland as a Stress Testing Senior Analyst.

The team have global responsibility for model design and management of broad classes of financial and operational risk. This role is a unique opportunity to join a team of quantitative analysts at the world's leading bank with this position providing responsibility for supporting a robust development and maintenance of traded risk stress testing models and methodologies.

* Assess and validate performance of traded risk stress testing models for CCAR/DFAST/PRA/EBA/ICAAP exercises, with primary focus on CCAR/DFAST
* Develop new traded risk stress testing models as required
* Understand features, assumptions and limitations of the models and undertake validation work
* Identify areas for improvements, automation and enhanced controls
* Document enhancements in accordance with the onshore standards
* Articulate our stress testing 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
* Assist in internal stress testing exercise

* Relevant experience in roles involving quantitative finance
* Ph.D./M.Sc. candidate/holder in Physics/Mathematics/Quantitative Finance or related disciplines
* Strong analytical skills; any experience in market risk, counterparty credit risk or regulatory stress testing is a plus
* Good understanding of statistics and linear algebra
* Strong experience with sophisticated tools for numerical analysis e.g. Python (preferred), Matlab, R
* Prior experience of development and implementation of statistical risk models is a plus
* Good understanding of market risk measures (VaR, ES, PnL) and derivatives (Forwards/Futures, Options, Swaps)
* Professional qualifications such as FRM/PRM/CFA Levels are a plus
* Ability to work under pressure and to tight timelines is essential
* 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