Counterparty Risk Modelling Specialist
Wrocław Counterparty Risk Modelling Specialist
Wrocław
NR REF.: 1105870
For our client, one of the biggest financial servic es companies we are looking for Specialist, Counterparty Risk Modelling
Within the Counterparty Risk Modelling team we are looking for a specialist responsible for model development. The specialist will become a member of an extended team geographically located in Wrocław and New York. The specialist will also be involved in projects related to upgrading and developing pricing tools, producing risk reports, advising on counter party credit risk and engaging in CCAR Stress Testing and other regulatory projects.
Responsibilities :
• Contribute to highly visible enterprise-wide modelling programs. The models make estimates that represent key inputs to management decisions and are reported to Senior Management and the Board of Directors on a regular basis.
• The incumbent will be responsible for ensuring that models use methodologies that are theoretically sound, with modelling choices, assumptions and parameters that are well justified and supported.
• The incumbent will participate in various counterparty risk model development stages including defining theoretical frameworks, collecting data needed, supporting assumptions, prototyping, documentation, quality assurance, benchmarking, and post-implementation support.
• The incumbent will be required to collaborate with desk risk managers, model validation, information technology groups, and market data groups.
• This role has no formal supervisory responsibilities. The specialist is primarily responsible for the accuracy and quality of their own work.
Qualifications:
• A degree in a quantitative discipline, including engineering, mathematics, physics, statistics, economics.
• Either formal education or work experience in fields of financial engineering and risk management.
• Must have good programming skills in at least one of Python, SQL, or C++. Prefer to have knowledge in other languages like R, Matlab, Java, etc.
• The candidate must have excellent scientific and technical documentation and presentation skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to- understand language.
Wrocław
NR REF.: 1105870
For our client, one of the biggest financial servic es companies we are looking for Specialist, Counterparty Risk Modelling
Within the Counterparty Risk Modelling team we are looking for a specialist responsible for model development. The specialist will become a member of an extended team geographically located in Wrocław and New York. The specialist will also be involved in projects related to upgrading and developing pricing tools, producing risk reports, advising on counter party credit risk and engaging in CCAR Stress Testing and other regulatory projects.
Responsibilities :
• Contribute to highly visible enterprise-wide modelling programs. The models make estimates that represent key inputs to management decisions and are reported to Senior Management and the Board of Directors on a regular basis.
• The incumbent will be responsible for ensuring that models use methodologies that are theoretically sound, with modelling choices, assumptions and parameters that are well justified and supported.
• The incumbent will participate in various counterparty risk model development stages including defining theoretical frameworks, collecting data needed, supporting assumptions, prototyping, documentation, quality assurance, benchmarking, and post-implementation support.
• The incumbent will be required to collaborate with desk risk managers, model validation, information technology groups, and market data groups.
• This role has no formal supervisory responsibilities. The specialist is primarily responsible for the accuracy and quality of their own work.
Qualifications:
• A degree in a quantitative discipline, including engineering, mathematics, physics, statistics, economics.
• Either formal education or work experience in fields of financial engineering and risk management.
• Must have good programming skills in at least one of Python, SQL, or C++. Prefer to have knowledge in other languages like R, Matlab, Java, etc.
• The candidate must have excellent scientific and technical documentation and presentation skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to- understand language.
Prosimy o aplikowanie poprzez przycisk znajdujący się po prawej stronie ogłoszenia.
