FRTB Quantitative Market Risk Analyst

Job title:

FRTB Quantitative Market Risk Analyst

Company:

Experis

Job description

As Quantitative Risk Analyst you will be responsible for critical deliverables involving complex market risk models related to “Fundamental Review of the Trading Book” (FRTB) implementation. Currently, we are focusing on the end-to-end implementation of the FRTB Standardised Approach (FRTB-SA and FRTB-SA-CVA). Therefore, for someone with the right competency, keen interest, high degree of motivation and energy, the role offers an excellent opportunity to be at the centre of FRTB market risk methodology developments. This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank.Responsibilities:

• Developing methodology for quantitative analysis required on various work streams for FRTB-SA and FRTB-SA-CVA implementation within the bank
• Providing robust, controlled, reusable, and scalable analytics capabilities for the rapid variations of FRTB-SA and FRTB-SA-CVA rules applied in the various regulatory jurisdictions in which the bank operates
• Producing high quality documentation for the FRTB-SA and FRTB-SA-CVA process, interacting with the model validation team
• Working with existing market risk models as required, and providing solutions where weaknesses are identified in testing, or where new business requires model enhancements
• Interacting confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the FRTB market risk models and to support any related production processes
• Preparing reports and detailed quantitative analysis for presentation to senior management and regulators

Skills and Experience:

• Experience in one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics, FRTB: BCBS, CRR2, CRR3, etc. regulations
• Ability to interpret and translate regulations into technical specification to serve as foundation for the implementation, testing, validation, and compliance
• Strong hands-on IT skills, for example, with Python, R, VBA, C/C++, SQL, Unix
• Keen interest in banking and finance, especially in the field of Quantitative Risk Modelling
• Excellent oral and written communication skills

Education:

• Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, data science and engineering)
• PhD or equivalent degree / MSc level qualification is strongly preferred

Our offer:

• Hybrid work – Warsaw (3 days at office per week)
• B2B via Experis
• Sport Card
• Life insurance
• Private Health insurance

Experis to światowy lider rekrutacji specjalistów i kadry zarządzającej w kluczowych obszarach IT. Z nami znajdziesz konkurencyjne oferty zatrudnienia oraz ciekawe projekty IT skierowane zarówno do ekspertów z wieloletnim doświadczeniem, jak i osób, które dopiero zaczynają swoją przygodę w branży IT.

Expected salary

Location

Warszawa, mazowieckie

Job date

Wed, 14 Aug 2024 00:39:20 GMT

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