+48 504 488 796 doradztwo@propersona.pl
4 Maj, 2021

Market Risk Model Validation Specialist/Expert

Warsaw

Join the best ALM / IRRBB validation team in Poland, where you will have a possibility to explore and challenge top-notch models and work with world-class experts in the field. They specialize in modelling the interest rate risk in the banking book such as behavioral, interest rates, valuation, replication/hedging and risk measurement models. The IRRBB Model Validation chapter is a new team currently expanding to target size of 10 members. The chapter is located in Warsaw and will work closely with the headquarter abroud.

Zadania:
  • Performing high quality validations and summarizing your conclusions in well-written validation reports that bring value to our stakeholders. You align with e.g. model developers, senior management, auditors, ECB.
  • Taking responsibility for the quality of end-deliverables of other chapter members of the projects you supervise (e.g. validations, policy work).
  • (Pro-actively) sharing your knowledge via a.o. reviewing validation reports, presentations and teaching.
  • Coaching the validators from a content perspective and having weekly meetings with them for the projects you supervise.
  • Keeping abreast with the latest IRRBB/ALM developments and visiting/presenting at conferences.
  • Acting as a trusted advisor & sparring partner for senior management.
  • Joining the Tribe & Chapter Leads to model approval committees, audits & onsite ECB inspections, where you present validation reports.
  • Building bridges with the business, aiming to further understand the model (context), use and therewith enhance our added value (while maintaining MV’s independence).
  • Setting & improving on our validation standards/frameworks/coding libraries etc.
  • As a recognized expert in your field of expertise, you advise on a strategic level. You will work closely with the Chapter Lead and Product Owner on work allocation, project duration and contribute to the design and execution of the tribe’s vision & strategy.

Wymagania:

  • At least 2 years of work experience in modelling and/or model validation in the area of Market Risk / Asset-Liability Management (ALM) / Interest Rate Risk in the Banking Book (IRRBB).
  • Practical knowledge as well as understanding of regulations associated with managing the interest rate risk.
  • A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, (Financial) Mathematics, Quantitative Economics, Statistics, Physics.
  • Experience with adequate, effective stakeholder management, as well as auditors, regulators and onsite inspections.
  • High quality standards, you are organised & persuasive, you like to interact and are a role model in these aspects.
  • Fluent communication skills in English, both verbally and in writing.
  • Ability to travel occasionally (few days in a year). Your main base is Warsaw.
  • Good programming skills: Python, Matlab, R.
  • Above all, you have a genuine passion for continuously improving yourself and our team.

Benefity:

  • A position where you will be empowered to have a true impact on company’s future model landscape and contribute to further implementing our innovative Think Forward strategy.
  • An exposure to world-class models in the area of IRRBB/ALM.
  • An opportunity to advise on a strategic level and influence the models used by the Bank globally
  • A 40 (or 36) hour employment contract.
  • A competitive salary tailored to your skills, competences, experience and performance.
  • A flexible work environment, with the possibility of working from home.
  • Time and support for personal development, including courses.
  • A challenging, interesting and evolving job/career.
  • An informal and positive working environment with highly qualified colleagues, who like to improve, value diversity and support each other.
  • An innovative, expanding working environment, also internationally, creating ample opportunities for further development.
  • A progressive way of working according to the Agile method, so that new ideas come to life incrementally.