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Does complex modeling excite you? Are you an innovative thinker? We're looking for someone like that who can: – bring innovation to the Risk Methodology Group in the development, refinement and implementation of risk models – develop statistical and stress testing models for credit risks using R – research and document best practices when working on a new model, including understanding regulatory requirements and establishing a data model – collaborate with risk officers, business managers, Change Operations to establish the processes supporting the good execution of the model – support regulatory exercises
You'll be working in the Risk Methodology team in Krakow. We are responsible for the development and maintenance of all firm-wide credit risk models, such as models for assessing default probabilities (PDs), loss given defaults (LGDs), Exposure at Default (EaD) and associated credit portfolio models. The team develops calculation models for securities lending values and derivatives margins as well as methods for risk control and monitoring on both portfolio and client level, such as stress testing, expected loss calculation, concentration and liquidity analyses.
Your experience and skills
You have: – a university degree in quantitative finance, math, statistics or other numerical discipline – some experience or strong interest in the financial services industry, preferably in risk management – solid coding skills in R – excellent analytical skills – curiosity and a thirst for innovation (e.g. big data, machine learning)
You are: – fluent in English – able to explain technical concepts in simple terms to facilitate collaboration – a strong communicator, from making presentations to writing technical documents in a clear and structured way