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Credit Risk Analyst

  • Warszawa, mazowieckie pokaż mapę
  • Specjalista
  • 06.06.2018

    Pracodawca ma prawo zakończyć rekrutację we wcześniejszym terminie.

    Credit Risk Analyst

    We are delighted to present this opportunity for our global bank and financial services client, who is looking to recruit a Credit Quantitative Analysis Associate


    The Risk group is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

    The CRMA Department at client is seeking a candidate to join its Credit Quantitative Analysis team (CQA). CQA is responsible for developing quantitative pricing and risk management models for credit risk and hedge fund risk.


    Client is looking for outstanding quantitative PhD or Master Candidate to join the Credit Quantitative Analysis team in Warsaw at the Analyst/ Associate level.

    As a Credit Quantitative Analysis Associate you will be responsible for:

    • 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.

    As a Client Assets Associate your skills/competencies will be:

    • Development of quantitative risk models (Credit Risk, Market Risk or CVA)
    • Programming experience of production level code - deployment, testing and release process ( C++, C, R, Matlab or other)
    • Strong quantitative skills (mathematics, statistics and probability)
    • Quantitative research experience both independent and collaborative
    • Ownership and oversight of methodology – owning code, development of modelling approach and responsibility for validation process
    • Stress testing experience working on internal or regulatory stress tests
    • Derivative pricing experience and knowledge of numerical technical (eg Monte Carlo pricing)
    • Cross asset product experience (Interest rates, Credit, Foreign Exchange, Commodities etc)
    • Strong communication skills both verbal and written
    • Genuine interest in the role and clear ability to articulate their interest in the role

    In return for your commitment our client will offer you a competitive salary plus bonus and a benefits package that includes:

    • Dynamic environment
    • Holiday and Vacation Policies
    • Healthcare and Medical Insurance
    • Flexible Working
    • Childcare / Family Care
    • Leave of Absence

    Company Profile

    Since 1991, Collabera has been a leading provider of IT staffing solutions and services. We are known for providing the best staffing experience and taking great care of our clients and employees.


    To know more about Collabera, I would encourage you to visit us on www.collabera.pl

    Please attached the following clause:
    „I hereby give consent for my personal data included in my offer to be processed for the purposes of recruitment, in accordance with the Personal Data Protection Act dated 29.08.1997 (uniform text: Journal of Laws of the Republic of Poland 2002 No 101, item 926 with further amendments)”.