Job

Hamlyn Williams are supporting an international bank based in Warsaw, Poland who are seeking an experienced Quantitative Analyst/Model Risk Manager to join their Credit RIsk Model Validation function. The role is a for a senior position within the team and would offer the opportunity to mentor/coach junior colleagues, whilst being an expert in the content and a work along lead for the bigger projects within the scope of the team.

Role Responsibilities:

• Initial and periodic validation of regulatory credit risk models (IRB/IFRS9/Economic Capital/Stress Testing)
• Quantitative analysis and review of model frameworks, assumptions, data, and results
• Designing, modelling and prototyping challenger models when required
• Testing models numerical implementations and reviewing documentations
• Checking the adherence to governance requirements
• Documentation of findings in validation reports, including raising recommendations for model improvements
• Ensuring models are validated in line with regulatory requirements and industry best practice
• Tracking remediation of validation recommendations
• Preparation of model risk reporting for Model Oversight Committee and Board

Essential

• You have an academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field
• 5+ years of experience within a banking/management consulting environment.
• You are passionate about working with people and developing talents of others make you fulfilled
• You have proven experience in leading and/or coaching in (risk) modelling and/or model validation
• You have extensive knowledge in modelling/validation in A-IRB, IFRS9 and/or
• Credit Decision Models
• You want to be a sparring partner/advisor to Senior Management
• You speak English on a very good level (C1 or above) 
• Knowledge of programming languages (SAS, SAS Base, Python, R, Matlab)
• You are excellent team player, persistent, service oriented, people centric, eager to learn
• You would like to work in an international environment focused on creativity and modernity