Model Risk Validator

Czym będziesz się zajmować?

• Manage model-related risks across the institution for commodities; conduct independent validations, monitor model performance and perform reviews
• Use advanced mathematical and statistical techniques to critically evaluate and challenge assumptions, formulas and implementation of financial models
• Design and execute tests assessing model performance in normal and stressed economic scenarios; contribute to the team's Python-based benchmarking codebase
• Build independent replicas of business models to verify their accuracy and stability
• Identify model limitations, quantify associated risks and work with stakeholders to establish controls
• Collaborate with model developers, trading desks and senior management to communicate validation findings and manage the model lifecycle
• Create high-quality validation reports and assist in presenting findings to internal stakeholders and external regulatory agencies
• Hybrid working model with up to 2 days working from home per week

Kogo poszukujemy?

Key requirements:

• Bachelor's degree in Finance, Economics or a quantitative discipline (statistics, quantitative finance, econometrics); Master's degree preferable
• 2+ years of relevant work experience
• Derivative-pricing skills, including stochastic calculus and numerical techniques
• Experience in mathematical modelling and in development/implementation of models used to price financial derivatives
• Strong computational skills with experience in Python
• Proficient in MS Office Suite, especially Excel, PowerPoint and Word
• Familiar with compiling documents in LaTeX
• Strong communication skills (speaking and writing)
• Understanding of model risk and validation testing techniques
• Project management skills with ability to deliver high-quality work on time

Nice to have:

• Experience in model validation
• Experience with collaborative development tools such as Git
• Experience interacting with the front office (traders/quants) and in commodity markets

Czego wymagamy?

2 lata doświadczenia na podobnym stanowisku
Znajomości:

• Stochastic calculus
• Mathematical modelling
• Python
• Numerical methods
• Model validation
• Wycena instrumentów pochodnych
• Analiza danych
• MS Excel
• Komunikacja

Mile widziane:

• LaTeX
• Zarządzanie projektem

Języki:

• Polski
• Angielski

Jakie warunki i benefity otrzymasz?

• 13.8k–23.4k PLN brutto/m (Umowa o pracę)
• Umowa o pracę - Elastyczne godziny pracy (100%)
• Praca zdalna: Brak
• Pakiet medyczny, Ubezpieczenie, Pakiet sportowy

Kim jesteśmy?

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