Modelling Audit (Market Risk) Specialist

Market Risk Modelling Audit Specialist
Poland, Warsaw
Competitive Salary + Industry Leading Benefits

A leading Banking organisation, based in Poland, is currently searching for a Market Risk Modelling Audit specialist to join their wider Model Risk Audit division.

As a Market Risk Modelling Audit specialist, you will be responsible for:

• Leading Audits related to IMM models such as VaR, Stressed VaR, IRC and CRM models in the market risk space, contributing to all the initiatives within market risk, across a range of asset classes given asset class (IRFX, Credit / Repo, Equity / Commodity).
• Applying well-known validation and test techniques for both regulatory (e.g. VaR, IRC, DRC, FRTB, IRRBB) and non-regulatory market risk models (e.g. pricing/valuation, XVA, FO engineering).
• Leading Audit methodology projects whilst considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes
• Contributing to the quality assurance processes surrounding risk measurement, including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;

Ideally, you will have the following experience:

• Market Risk Modelling experience from either a Banking Book or Trading Book perspective
• A strong understanding of Audit Methodology.
• Practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
• Design and implementation of quantitative models, using C# or C++ in a source-controlled environment

What they can offer to you:

• Competitive salary
• Industry leading benefits package
• Career progression and learning opportunities
• Varied position which will allows you to focus on the topics that you are interested in

Sounds like you? Please send across your updated CV, and we can arrange a confidential conversation to discuss this in more detail.