Trading Risk Quant Modeller
Location: WarsawTraded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes. This opportunity is for a contactor to perform model validations and conduct independent testing. The role is expected to conduct validations flexibly across a broad range of models. The role requires collaborative working both across the local teams in Poland, London, and Singapore.
RESPONSIBILITIES
Delivery of validations of a high quality and according to agreed timelines.
Review and validation of at least one of: front office derivative pricing, market or counterparty risk models.
Liaise with key stakeholders, including sales & trading, front office quantitative analysts and developers, market risk management, counterparty risk management, XVA and valuation control throughout the model risk model lifecycle.
SKILLS
MUST
- PhDs/MSc. in highly numerical subject such as mathematics, physics, engineering, or mathematical finance.
- Several years’ experience in either a model validation or model development role covering pricing, or risk modelling for derivatives.
- Demonstrable knowledge and ability to apply mathematical techniques in modelling problems ideally including stochastic calculus.
- Knowledge and some practical experience of coding, ideally including C++ but other languages would be considered.
- Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders. Fluency in written and spoken English.
- Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience.
NICE TO HAVE
- Knowledge of financial products, specifically calculation of valuations or risk is advantageous
- Competitive salary
- Luxoft Training Center
- Access to e-learning Library
- Individual development plans
- Long-term cooperation with possibility to gain experience in different projects and technologies
- A significant number of professional communities (Agile Community, Tech Community, Business Analysis Community, etc.)
- Group Life Insurance
- Private healthcare insurance – LuxMed. Unlimited access to specialist consultations with Dental Care included
- Medical costs reimbursement for employees (up to certain amount per quarter)
- Travel Insurance
- Benefit Program - Cafeteria and Multisport Card
- Various communities (sport, recreation activities, trips, board games, cultural and educational activities)
- Discounts program for employees – BeLux (banking offer, car leasing offer and cafeteria program discount)
- Convenient locations in a modern offices with game rooms
- Multinational projects for clients all over the world
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