HRO Recruitment is a specialist traditional recruitment business. HRO Recruitment is a brand of HRO Personnel Sp. z o. o. HRO Personnel is a Human Resources service provider operating under number 6696.
We are working as a recruitment provider searching on our Client's behalf for a person in the following role:
Senior - Quantitative Model Validation
WROCŁAW
Job duties:
The role will require working on model documentation, model development or model validation assignments for large financial institutions. This will include developing new models, enhancing/improving and validating existing models and documenting the same as per SR 11-7 guidelines to support the institution’s regulatory mandates.
The candidates will be required to have sound knowledge and exposure to pricing derivatives (in particular Fixed Income derivatives) and market/traded risk models in the capital markets space. This will include exposure to any of the following methodologies:
• Pricing/Valuation models
• Market Risk/VaR models
• IMM and Risk-based margins
• Enterprise-wide models including Operational risk and Economic Capital
Key responsibilities include (but not limited to): understanding business requirements, modelling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review, regulatory guidelines.
Qualifications:
Ph.D in Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline. Candidates with Masters in Financial Engineering (MFE) or Mathematics with relevant experience and mathematical education background can also apply.
Skills required:
- Good Math skills and excellent knowledge of quantitative finance (stochastic processes; PDEs; Fixed Income derivatives pricing: ZCBs, swaps, swaptions; Yield Curve bootstrapping)
- Exposure to valuation/pricing models across asset classes
- Model review/validation experience would be helpful (for Validation assignments)
- Sound knowledge of standard tools and platforms used in the industry (C++, R, MATLAB, Python etc.)
- Good communication skills, team-work and flexibility
- exposure to Basel II/II.5/III models for capital markets, SR 11-7 guidelines is a plus
- exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins amongst others is a plus
Please add the following clause to the end of your submitted CV: “I hereby consent for HRO Recruitment, a brand of HRO Personnel Sp. z o.o. with their head office in Warsaw at Puławska 182, to use my personal details hereby submitted for their recruitment process (documenting and processing personal information and forwarding said information to their clients within the structure of the client’s recruitment projects) in accordance with the Law on Protection of Personal Data (Dz. U. 2002 r. Nr 101 poz. 926) until I submit a written withdrawal of consent. I confirm that I was informed of the right to modify, access and protect my personal information.”
