Specialist Model Risk

  • Full Time
  • warsaw

Website Collabera

Job Description

  • The Specialist (Model Risk Analyst) will contribute to highly visible enterprise-wide model validation function in the organization.
  • The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis.
  • The role will be to execute enterprise standards for model validation.
  • The incumbent will be responsible for identifying and evaluating model risk and propose controls to manage that risk.
  • This will entail following the scope of a validation effort and executing tests and reviews.
  • The incumbent may work in one of five disciplines, each responsible for a different type of modeling: 1) Credit Risk Modeling 2) Treasury Modeling 3) Market Risk Modeling 4)
  • Pricing Modeling 5) Forecasting Execute enterprise standards for model validation by applying techniques and methodologies to test assumptions and review outcomes of a model.
  • Tests and reviews align to the validation scope established by more senior colleagues.
  • The incumbent will be responsible for identifying and evaluating model risk and proposing controls to manage that risk.
  • Subsequent to the validation of a model, the incumbent is expected to lead projects that automate prior testing, allowing risk to be assessed on a dynamic basis.
  • The incumbent may be required to construct shadow models that run alongside those in production, allowing Model Risk Management to monitor performance in real time.
  • No formal supervisory responsibility.
  • Primarily responsible for the accuracy and quality of own work . Modified based upon local regulations/requirements.

Qualifications:

  • Master’s Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, econometrics.
  • The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills.
  • 0-2 years of experience. Must have experience with complex quantitative modeling,
  • numerical analysis, and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) as well as mathematical/statistical software packages.
  • Must be extremely focused, detail oriented, results oriented and highly productive.
  • Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time.
  • The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.

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.
Location City:
warsaw
Location Country:
Poland
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