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The GRA Traded and Operational (TnO) Risk Analytics team deals with risk models for measurement of trading book risks as well as operational risk. This internship role is based in Kraków and offers a unique opportunity to join a team of quantitative analysts at the world’s leading bank.
Job Responsibility:
Build, assess and validate traded risk models using real world data
Understand features, assumptions and limitations of the models, propose a validation approach, identify target market data and undertake validation
Identify areas for improvements, automation and enhanced controls
Document enhancements in accordance with the on-shore standards
Participate in ad hoc projects
Articulate our modeling approach to internal and external stakeholders in a non-technical language
Assist in the on-going application of the models in a business-as-usual risk management framework.
Requirements:
Ph.D/M.Sc./B.S. in Quantitative Finance/Physics/Mathematic/ Software Engineering/ Economics or related disciplines
Strong understanding of financial mathematics, mathematical analysis, statistics and linear algebra
Familiarity with risk measures, derivative products and their pricing
Good knowledge of Python programming language
Open personality and effective written and oral communication skills in English.
What we offer:
Competitive salary
Annual performance-based bonus
Additional bonuses for recognition awards
Multisport card
Private medical care
Life insurance
One-time reimbursement of home office set-up (up to 800 PLN)
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