Quantitative Risk Senior Analyst, Senior Vice President

Workforcity

Warsaw, Poland
Base: zł340,990.00 - zł580,610.00; bonus/equity: n...
Counterparty credit risk models
Covariance matrices
Stochastic calculus
The Counterparty Credit Risk Model Production team within DART is seeking an SVP Model Developer to join the team in Warsaw, Poland

Job Summary

  • The Counterparty Credit Risk Model Production team within DART is seeking an SVP Model Developer to join the team in Warsaw, Poland.
  • Develop, maintain, and enhance models for counterparty credit risk, with a specific focus on the construction and calibration of counterparty risk covariance matrices and the identification of stress periods.
  • Work in a challenging area of the financial industry with one of the world's leading companies, gaining exposure to a variety of products, processes, and controls.

Matching Summary

The Counterparty Credit Risk Model Production team within DART is seeking an SVP Model Developer to join the team in Warsaw, Poland.

Salary

Base: zł340,990.00 - zł580,610.00; Bonus/Equity: Not specified; Benefits: Attractive benefits package

Skills & Requirements

Must-have

  • counterparty credit risk models
  • covariance matrices
  • stochastic calculus
  • large datasets
  • quantitative analysis

Nice-to-have

  • intellectual curiosity
  • cross-functional project management
  • friendly and diversified environment
  • affinity networks

Key Requirements

  • Master's or PhD degree in a quantitative field
  • Extensive demonstrated years of experience as a quant
  • Solid programming skills
  • Excellent mathematical skills
  • Proficiency in handling very large datasets

Work Rights

Not specified

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