Wholesale Credit Reserves & Loss Modelling - Quantitative Analyst

10 октября 2026 г.

Гибрид

Middle

Warsaw, Poland

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Описание

The DART risk modelling and data analytics team is hiring a Quantitative Analyst for the IFRS9 and ICAAP modelling team within Loss Forecasting Analytics. The role focuses on researching, developing and testing wholesale expected credit loss models and implementing them in an internal Python library. The work covers regulatory stress testing, statistical analysis and communicating complex risk results to senior stakeholders.

Обязанности

Research, develop and test wholesale expected credit loss models in line with IFRS9 standard and country-specific regulatory requirements
Implement loss models and analytical functions in the internal Python library
Prepare detailed quantitative modeling and analysis for risk managers and senior management
Actively participate in the analysis and interpretation of results, incorporating feedback into models and metrics
Support business, finance, risk managers, model validation, internal audit and banking supervisors in loss models related discussions
Synthesize and communicate complex risk models and results
Conduct statistical analysis, quantitative modeling and model risk controls

Требования

Master's degree in Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics or Finance is required
3+ years of experience in quantitative financial modeling with hands-on research, development and implementation of financial models
Ability to apply sophisticated mathematical and analytical techniques to solve real-world problems
Knowledge of wholesale credit products and financial markets at a financial institution is preferred
Good knowledge of credit reserves calculation in line with IFRS9/CECL and bank stress testing in line with ICAAP/CCAR or PD/LGD/EAD modeling is a plus
Familiar with statistics packages and regression models
Strong programming skills in Python, good knowledge of Linux is a plus
Excellent verbal and written communication skills

Условия

Hybrid working model with up to 2 days working at home per week
Employer paid Defined Contribution Pension Plan contribution of 6% of pensionable earnings
Employer paid Private Medical Care Package for employees and preferential rates for family members
Employer paid Life Insurance Program for employees and preferential rates for certain family members
Employee Assistance Program and Employer Paid Parental Leave Program with 2 weeks additional paid paternity leave
Sport Card for employees subsidised via Social Benefits Fund with preferential family rates
Holidays Allowance, support for sport and cultural activities, team building events
Additional day off for volunteering
Cafeteria flex benefit system to select and purchase benefits on the platform
Opportunity to receive an annual discretionary incentive award
Special offers and discounts for employees

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