Company description:

Verita HR Polska is a Human Resources service provider operating under number 5694.
We are working as a recruitment provider searching on our Client's behalf for a person in the following role:

AVP, Senior Quantitative Risk Analyst

Responsibilities:

- Use statistical modelling and machine learning techniques to develop prepayment/pipeline models for mortgage products to hedge the risk and assess the IRRBB risk metrics
- Develop the required behavioural models for different products to assess the IRRBB risk metrics
- Use the quantitative expertise to design models supporting the Markets Treasury business and other functional Treasury teams where required. Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change
- Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose
- Be responsible for Model Life Cycle - starting from defining the objectives to model development / testing, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
- Coordinate projects focusing on ensuring consistency across sites. Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the onshore process team prior to implementation

Requirements:

- Academic background in a quantitative field such as Mathematics, Data Science, Econometrics, Engineering, Physics
- Qualification and Expertise in mathematics / statistics / machine learning algorithms
- Solid background in Python programming, preferably in large scale financial or technical computations
- 3+ years of relevant experience in analytics preferably in the fields such as Risk Modelling, Stress Testing, Forecasting etc. for a Banking organisation
- Open personality and effective communication skills, including experience speaking to technical and business audiences and working globally
- Good understanding of the Banking Book risks: IRRBB risk components and liquidity risks
- Experience in designing behavioural models

The offer:

- Competitive salary
- Multisport card
- Private medical care
- Life insurance
- CSR initiatives
- Flexible working hours