Company Overview
Our client is a leading global financial institution renowned for their cutting-edge risk management solutions. As part of their Global Risk Analytics (GRA) team, they are responsible for developing robust risk models across a wide range of financial and operational risks. Setting industry standards, they provide mission-critical tools to identify, measure, and manage risk while enhancing enterprise-wide compliance. With a commitment to innovation and excellence, they continuously strive to deliver state-of-the-art solutions that safeguard the organisation’s financial stability and reputation.
Our client is seeking a highly skilled and experienced GRA Traded and Operational (TnO) Senior AVP to join their dynamic team in Kraków, Poland. This is an exciting opportunity for a quantitative finance professional to make a significant impact in the field of risk modelling.
Position Overview
As a GRA Traded and Operational (TnO) Senior AVP, you will play a pivotal role in developing sophisticated risk models for a wide range of asset classes. Your expertise will be instrumental in creating and implementing cutting-edge methodologies and computing tools to cover new and identified risks. This position offers the opportunity to work with a high degree of autonomy, tackling complex technical challenges while providing clear direction and judgment. Your contributions will directly influence the organisation’s risk management framework and regulatory compliance.
Responsibilities
- Develop innovative models (methodology and computing tools) to cover new and identified risks, including Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Stress Testing, Economic Capital, Fundamental Review of Trading Book (FRTB), and Capital Models
- Identify areas for improvement, automation, and enhanced controls for risk models across all asset classes
- Understand regulatory and business requirements to propose fit-for-purpose models
- Manage the Model Life Cycle, collaborating with Risk Transformation and Financial Engineering teams from objective definition to model development, testing, documentation, on-going assessment, validation, and internal/regulatory scrutiny
- Comprehend model features, assumptions, and limitations, propose validation approaches, identify target market data, and conduct validation
- Articulate modelling approaches to internal and external stakeholders (including regulators) in non-technical language when required
- Assist in the on-going application of models in a business-as-usual risk management framework
- Participate in ad hoc projects
Requirements
- Several years of experience in the financial industry involving quantitative finance and/or risk modelling
- Ph.D./M.Sc./Bachelor’s degree in Quantitative Finance, Physics, Mathematics, or related disciplines
- Sound understanding of financial mathematics, mathematical analysis, statistics, and linear algebra
- In-depth knowledge of risk measures and derivative products and their pricing
- Proficiency in Python programming language; additional programming skills are a plus
- Excellent written and oral communication skills in English
- Familiarity with key regulatory requirements and bodies
- Experience in writing and reviewing methodology documents
- Professional qualifications such as FRM, CQF, or PRM are highly desirable
Benefits
- Competitive compensation package
- Opportunities for professional growth and development
- Exposure to cutting-edge technologies and methodologies
- Collaborative and intellectually stimulating work environment
Alongside a comprehensive benefits package, you’ll be part of a dynamic and diverse team of experts who are passionate about driving innovation in risk management. Our client fosters a culture of continuous learning, providing opportunities for professional development and growth within a supportive and inclusive environment.
How to Apply
If you are a quantitative finance professional with a strong background in risk modelling and a passion for delivering innovative solutions, we encourage you to apply for this exciting opportunity. Please submit your CV highlighting your relevant experience and qualifications to harvinder.rattan@blvdr.pl For any inquiries, please contact +48 510 544 931