Model Risk Manager

Nasze wymagania: Market Risk (Traded Risk), Stress Testing, Pricing Modelling. Statistical and financial modelling techniques. Market Risk models and performance metrics (VaR, Stressed VaR, IRC, Expected Shortfall, DRC). Basel 2.5, FRTB frameworks, and capital requirements. Internal banking procedures related to risk management (advantage). Proficiency in at least one statistical modelling language: Python, R, Matlab, C++, VBA. Experience in model development and/or independent model validation. Handling requests from internal/external audit and regulators (beneficial). Excellent written and verbal communication. Strong team player with ability to work independently. Ability to mentor junior team members and peer-review work. O projekcie: Ready to take your quantitative skills to the next level? Join an international team and work on cutting-edge risk models in a dynamic environment! We are looking for an experienced Senior Model Validator to join the Model Risk Management team. This role focuses on Independent Model Validation for Market Risk models, ensuring compliance with regulatory requirements and internal risk management policies. Sounds like your kind of challenge? Zakres obowiązków: Perform independent model validations as part of a specialist quantitative team. Validate Market Risk models such as VaR, Stressed VaR, Incremental Risk Charge, Expected Shortfall, Default Risk Charge. Assess risks related to model input data quality, performance, and usage. Conduct back-testing, sensitivity analysis, and stress testing to evaluate model performance. Ensure compliance with Basel III, OCC guidelines, and internal policies. Provide critical opinions on conceptual soundness and adequacy of models for intended use. Collaborate with model developers, treasury, and risk management teams to mitigate model risk. Note: Detailed project information will be shared during the recruitment process. Oferujemy: Flexible cooperation model – choose the form that suits you best (B2B, employment contract, etc.) Hybrid work setup – remote days available depending on the client’s arrangements Collaborative team culture – work alongside experienced professionals eager to share knowledge Continuous development – access to training platforms and growth opportunities Comprehensive benefits – including Interpolska Health Care, Multisport card, Warta Insurance, and more High quality equipment – laptop and essential software provided