Senior Quantitative Risk Modeler – Risk Manager
We are currently looking for an experienced Senior Quantitative Risk Modeler to join their growing team at one of the largest banking institutions based in Krakow.
Our client is currently conducting interviewing and onboarding candidates remotely.
Please only apply if your skill set matches the job advert and if you have a valid working visa, as our client does not provide visa sponsorship.
Job Reference: BBBH 18542
What will the Senior Quantitative Risk Modeler do?
- Create, develop, and maintain methodologies for scenario expansion.
- Use techniques from quantitative risk management, statistics, financial mathematics, and econometrics to develop, assess, and change models.
- Implement models in R and produce clear and detailed documentation for regulators across the globe.
- Bring new quantitative modeling ideas to our team to push ahead a key project within the bank.
- Develop and maintain the model library.
- 2+ years of experience in Risk Model Development.
- PhD or Master’s degree in applied quantitative discipline (e.g. Computer Science, Econometrics, Statistics, Financial Engineering, Computational Science, Quantitative Finance).
- Experience in building models from scratch (e.g., time series analysis, linear/non-linear models, Gaussian/non-Gaussian models, parametric/non-parametric models).
- Sound knowledge of statistical and econometric methods and their application.
- Strong R programming skills using object-oriented programming – Python is acceptable.
- Understanding of the following terms: stationarity, OLS, R-squared, Akaike, goodness of fit, out-of-sample, null hypothesis, p-value, risk-neutral, collinearity, heteroscedasticity, quantiles.
- Experience in creating your own models.
- Ability to maintain a large time series database.
- Proficient in programming with statistical software (e.g. R, Matlab).
- Business level English and ability to work onsite in Krakow.
What if we said:
- Great branded company, collaborative and engaging culture that values, rewards and develops employee expertise.
- Great career development, fully financed training courses, progression and promotion prospects.
- Benefits include guaranteed annual bonus scheme, health: private medical healthcare package, life insurance, work-life balance with flexible working models, generous family-related provisions, time-flex, working hours/vacation, sports clubs, staff catering, public transport subsidy, preferential rates on banking products & financial services, to mention a few.
Let Allen Recruitment work for you
Allen Recruitment are a specialist ICT recruitment firm and have been successfully placing candidates in great jobs across Europe for the past 20 years.
A key recruitment partner to a growing number of Financial Services, Banks and Fintech companies in Europe. With aggressive hiring plans for 2020 and beyond, we are assisting our client’s source talented Technology Professionals across Europe.
Interested in this opportunity?
Submit your CV (in a Microsoft Word format) today!
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