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Ref.9823 - Quantitative Analyst
To: Monika Lubienska
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Quantitative Analyst

Warsaw

Ref. 9823
Permanent position
Client's sector: Corporate & Investment Banking


Skills: Quantitative, Math, Mathematics, FVA, CVA
Required languages: English
Industry: Banking & Financial Services

Credit Quantitative Analysis is a quantitative group within the Credit Risk department which has the responsible for developing quantitative pricing and risk management models for credit risk and hedge fund risk, as well as CVA and FVA for regulatory stress testing purposes.
We are currently seeking an outstanding quantitative PhD or Master candidate to join the Credit Quantitative Analysis team in Warsaw at the Associate level

Responsibilities
• Development of models and simulations for stress testing regimes and guidelines requested by Global regulators. Will require interaction with regulators, previous experience and good communication skills are advantageous.
• Development of pricing and simulation models across asset classes, notably for interest rate, equities, commodities, funding, FX, and credit derivatives.
• Capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets.
• Development of prototypes of models and interaction with the IT group in developing and testing production models.

Qualifications
• Strong quantitative skills with a PhD or Masters in a quantitative discipline (Physics, Mathematics, Applied Mathematics, Computer Science, Statistics, Engineering, etc.)
• Knowledge of derivative pricing and financial economics
• Programming experience in Matlab, C++, C#, or Java
• Communication skills and teamwork are important attributes for successful candidates.

Contact person: Monika Lubienska

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