Oferta pracy

Specialist Quantitative Analyst

CAPCO POLAND SP Z O O

  • Lower Silesia

    Lower Silesia
  • offer expired 2 months ago
  • contract of employment, B2B contract
  • full-time
  • specialist (Mid / Regular)
  • home office work
  • remote recruitment

Your responsibilities

  • PC Analytics is a centralized specialist quantitative team dedicated to implementation and refinement of fair value adjustment methodologies, development and support of quantitative tools to enhance the control framework for Product Control, Market Risk Management and the business, ensuring methodologies are compliant with new regulations. The candidate will be joining a team of experienced quantitative analytics professionals with deep subject matter expertise.

  • Main Duties:

  • • Development of new (or updating existing) mathematical finance models for Credit Valuation Adjustment (CVA), related to recent regulatory Standardised Approach CVA (SA-CVA) requirement within FRTB regulatory framework.

  • • Model ownership, responsibility to adjust the model according to business and regulatory requirements.

  • • Implementation of CVA calculations through contribution to the PC Analytics C++ library.

  • • Maintenance of model and implementation documentation.

  • • Close interaction with colleagues in the Product Control, Risk, Front Office, internal model review and governance functions.

Our requirements

  • • Strong analytical skills and a proactive approach to problem solving.

  • • Education or working experience in financial mathematics, derivatives pricing models, XVA framework or related areas.

  • • Some programming experience in C++

  • • Fluency in English both spoken and written.

  • • Good communication skills and willingness to learn.

  • Nice to have

  • • Experience in XVAs area.

  • • Knowledge of SQL, Python, VBA or other programming languages. Experience with GitHub.

What we offer

  • You will be working on engaging projects with some of the largest banks in the world, on projects that will transform the financial services industry.

  • In addition, we offer:

  • • A work culture focused on innovation and creating lasting value for our clients and employees

  • • Ongoing learning opportunities to help you acquire new skills or deepen existing expertise

  • • A flat, non-hierarchical structure that will enable you to work with senior partners and directly with clients

  • • A diverse, inclusive, meritocratic culture

  • • Speaking English on daily basis, mainly in contact with foreign stakeholders and peers

  • • Being part of the core squad focused on the growth of the Polish business unit - being part of the growth story

  • • Access to 3.000+ Business Courses Platform

  • Benefits

  • sharing the costs of sports activities

  • private medical care

  • sharing the costs of professional training & courses

  • remote work opportunities

  • flexible working time

  • fruits

  • integration events

  • no dress code

  • coffee / tea

  • meal passes

  • employee referral program

CAPCO POLAND SP Z O O

We are a global technology and business consultancy, focused on the financial services sector. We are passionate about helping our clients succeed in an ever-changing industry.

We are:

• Experts in banking and payments, capital markets and wealth

and asset management

• Committed to growing our business and hiring the best talent

to help us get there

• Focused on maintaining our nimble, agile and entrepreneurial

culture

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