Opis stanowiska pracy
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:
Quantitative Analyst, Model Development
The Quantitative Analyst within Risk Analytics team in Poland will report to the local team manager located in Poland, and will be responsible for supporting the US team to conduct model development activities within existing ERM department. The scope of Poland team covers mainly the regulatory and economic capital models. These models are in areas including counterparty credit risk (e.g., Probability of Default, Loss Given Default, Expected Loss); ICAAP models (e.g., Business Risk, Credit Risk add-on calculation); and Operational Risk.
Support the US team to conduct model development activities compliant with the regulatory and Model Risk Management guidelines:
Review of the quantitative methods for risk measurement used in the industry as well as proposed by academia.
Working with data providers and internal counterparties to determine the development data.
Preparation of the algorithms and codes used to estimate the model.
Presentation of the results during workshops with business counterparties and senior management. Application of suggested improvements.
Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
Preparation of model technical documentation and ongoing monitoring plan.
Cooperation with the information technology professionals during preparation of model implementation plan.
Cooperation with Model Risk Management during model validation stage. Incorporation of suggested remediation actions.
Previous experience in independent model development of risk/financial models in banking industry.
PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
3+ years of programming experience with SAS, R, Matlab, STATA
Good communication skills (verbal and written in English).
Ability to execute on competing priorities in a timely manner.
Minimum 3 year of experiences in risk management in banking industry.
Hands on experience in model development and/or model validation.
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.”
HRO Recruitment to brand firmy HRO Personnel, dynamicznie rozwijającego się dostawcy... usług w obszarze rekrutacji i zarządzania zasobami ludzkimi (numer wpisu do rejestru 6696). Świadczymy usługi w zakresie realizacji projektów z obszaru zarządzania zasobami ludzkimi – w tym usługi rekrutacyjne na wszystkie szczeble zarządzania, pracy tymczasowej, outsourcingu kadrowo-płacowego oraz outsourcingu personelu. Rozwiń