Counterparty Credit Risk Analyst

Counterparty Credit Risk Analyst

B2B via Experis

Hybrid work

once a month at the office in Warsaw)

Responsibilities :

• Develop, maintain and enhance models for counterparty credit risk especially in reference to construction and calibration of counterparty risk covariance matrices;
• Calibrate and maintain simulation models for the purpose of counterparty credit risk;
• Contribute to the production and user acceptance tests releases of covariance matrices;
• Perform impact analysis of any changes in covariance matrices as well as CCR model parameters in reference to internal risk management as well as regulatory measures of counterparty credit risk;
• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data;
• Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls;
• Support various tasks in response to regulatory and internal risk management requirements;
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

Qualification :

We offer :

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.