Senior Quantitative Modeler Market Risk
Wrocław Senior Quantitative Modeler Market Risk
Wrocław
NR REF.: 1131053
The global financial services company focused on helping clients manage and service their financial assets, operating in 35 countries and serving more than 100 markets. The leading provider of financial services for institutions, corporations and high-net-worth individuals, providing superior asset management and wealth management, asset servicing, issuer services, clearing services and treasury services through a worldwide client-focused team.
Global Talent & Development department is looking for a Quantitative Modeler, Market Risk:
Job Description
This is a highly visible position within Market Risk group, we are looking for talented and creative quantitative modelers who will be responsible for implementation, maintenance, and debugging of Bank of New York Mellon main model for its counterparty risk exposure and market risk framework that include credit and liquidity risk components as well.
The model use includes regulatory reporting purposes such as RWA and Basel; key input to management decisions and reporting to Senior Management and the Board of Directors on a regular basis. Incumbent must be able to provide intellectual leadership in terms of conducting cutting-edge research, identifying latest trends and developments in modeling, and recommending alternative solutions to analytically challenging problems. The incumbent should be an expert in risk management concepts and quantitative modelling area.
Key responsibilities include:
· Market Risk Modeling and Pricing of a wide variety of financial asset classes, PFE and VaR calculations for counterparty credit limit
· Perform backtesting, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic
· Communicating with trading desks and legal department to understand the business and legal aspects of the trades that could impact in risk aggregation,
· Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance
Qualifications
A successful candidate needs to demonstrate his/her ability to solve complicated modeling problems. A Ph.D. or Master degree in mathematics, physics, engineering, or other quantitative field is a plus, but not an absolute requirement.
Essential experience/skills
: · Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms.
· At least two years of experience
· Advanced experience in programming languages (Python, C/C++, R, MATLAB)
· Ability to work in a high-pressure environment and a good team player.
· Must be extremely focused, detail oriented, results oriented and highly productive.
· Prior experience of financial products such as RMBS/CMBS/ABS is a plus.
· Excellent communication and writing skills.
What we can offer you:
· Full time contract of employment
· Health & Life Insurance
· Multisport card / Cinema Tickets / Nursery subsidiary
· Pension scheme
· Excellent opportunities for training, growth and professional development
· Opportunities to engage in diverse projects due to growth of business migrations
· A multitude of opportunities to get involved in additional charity projects
· A collaborative culture and great teams
Wrocław
NR REF.: 1131053
The global financial services company focused on helping clients manage and service their financial assets, operating in 35 countries and serving more than 100 markets. The leading provider of financial services for institutions, corporations and high-net-worth individuals, providing superior asset management and wealth management, asset servicing, issuer services, clearing services and treasury services through a worldwide client-focused team.
Global Talent & Development department is looking for a Quantitative Modeler, Market Risk:
Job Description
This is a highly visible position within Market Risk group, we are looking for talented and creative quantitative modelers who will be responsible for implementation, maintenance, and debugging of Bank of New York Mellon main model for its counterparty risk exposure and market risk framework that include credit and liquidity risk components as well.
The model use includes regulatory reporting purposes such as RWA and Basel; key input to management decisions and reporting to Senior Management and the Board of Directors on a regular basis. Incumbent must be able to provide intellectual leadership in terms of conducting cutting-edge research, identifying latest trends and developments in modeling, and recommending alternative solutions to analytically challenging problems. The incumbent should be an expert in risk management concepts and quantitative modelling area.
Key responsibilities include:
· Market Risk Modeling and Pricing of a wide variety of financial asset classes, PFE and VaR calculations for counterparty credit limit
· Perform backtesting, benchmarking for the current model and design and implement new adhoc stress tests to capture micro-macroeconomic market dynamic
· Communicating with trading desks and legal department to understand the business and legal aspects of the trades that could impact in risk aggregation,
· Interact with technology for market data standard and model integration, and also model risk management group for timely delivery of model maintenance
Qualifications
A successful candidate needs to demonstrate his/her ability to solve complicated modeling problems. A Ph.D. or Master degree in mathematics, physics, engineering, or other quantitative field is a plus, but not an absolute requirement.
Essential experience/skills
: · Strong quantitative background and creative problem solving skills with an ability to describe complex systems in simple terms.
· At least two years of experience
· Advanced experience in programming languages (Python, C/C++, R, MATLAB)
· Ability to work in a high-pressure environment and a good team player.
· Must be extremely focused, detail oriented, results oriented and highly productive.
· Prior experience of financial products such as RMBS/CMBS/ABS is a plus.
· Excellent communication and writing skills.
What we can offer you:
· Full time contract of employment
· Competitive salary
· Health & Life Insurance
· Multisport card / Cinema Tickets / Nursery subsidiary
· Pension scheme
· Excellent opportunities for training, growth and professional development
· Opportunities to engage in diverse projects due to growth of business migrations
· A multitude of opportunities to get involved in additional charity projects
· A collaborative culture and great teams
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