Quantitative Analyst

  • Job Reference: R-00114902
  • Date Posted: 22 February 2021
  • Employer: RBS
  • Website: http://www.jobs.rbs.com
  • Location: Warszawa
  • Salary: On Application
  • Sector: Accounting, Banking & Financial Services
  • Job Type: Full Time

Job Description

Join us as a Quantitative Analyst

  • As a Quantitative Analyst, you’ll be supporting in the review, validation and quantification of model risk for assigned pricing or risk models used within NatWest Markets
  • You’ll be focusing on rates and FX derivatives pricing models or market risk, including IMA VaR, RNIV, IRC, and counterparty credit risk IMM models
  • You’ll gain great exposure for you and your work, with the opportunity to develop key relationships with relevant management, colleagues, model owners and developers and end-users

What you'll do

In this key role, you’ll be helping us to maintain and control an aggregated bank-wide model inventory and associated model risk assessments. We’ll look to you to quantify model risk, through the comparison of the operating model against alternative models. You’ll also review and validate assigned models across the bank, ensuring that they are fit for purpose.

You’ll also be:

  • Supporting the review and challenge of model use in official stress testing calculations and
  • Supporting periodic model review including model performance assessment
  • Developing, maintaining and promoting the risk appetite setting in relation to model risk
  • Performing model risk analysis to satisfy regulatory queries and requirements

The skills you'll need

We’re looking for someone with an interest in pricing or traded risk models. Crucial to your success in this role will be excellent problem solving and analytical skills, coupled with strong communication skills and ideally some relevant work experience in a financial institution. 

You’ll also need:

  • A postgraduate degree in a quantitative subject such as mathematics, physics or quantitative finance, or similar
  • Programming skills in C++, Python or R