Senior Quantitative Risk Model Analyst

As a recruitment company, DCG understands that every business is powered by experienced professionals. Our management style and partnership approach enable us to meet your needs and provide continuous support. Due to our ongoing growth and the large number of recruitment projects we undertake for our partners, we are currently looking for:

🧑‍💻 Senior Quantitative Risk Model Analyst

💸 160 - 180 PLN/h net + VAT (B2B contract)

🏢 Warsaw - hybrid model (1 day/week in the office)

🛫 ASAP or within 1 month notice period

Responsibilities:

• Develop, maintain, and enhance counterparty credit risk models, particularly for constructing and calibrating risk covariance matrices
• Calibrate and manage simulation models for counterparty credit risk assessment
• Oversee the production and testing of covariance matrices, ensuring accuracy and reliability
• Conduct impact analysis of model parameter changes on regulatory and internal risk measures
• Design and implement methodologies, algorithms, and diagnostic tools to evaluate model robustness, stability, and performance
• Create and maintain detailed technical documentation, including mathematical derivations, project plans, and quality control procedures
• Support regulatory and internal risk management requirements with quantitative solutions
• Prepare comprehensive reports and analyses for senior management and regulatory review

Requirements:

• Minimum of 4 years as a quantitative or risk analyst in Counterparty Credit Risk
• Advanced proficiency in Python is essential
• Experience in building and calibrating models in counterparty credit risk
• Knowledge and experience with counterparty credit risk models
• Knowledge of Counterparty Credit Risk measures like EAD, PFE, CVA, RWA
• Very good command of English (oral and written)
• A degree in Mathematics, Quantitative Methods in Economics, or a related field is required

Offer:

• Private medical care
• Co-financing for the sport card
• Constant support of dedicated consultant
• Employee referral program