Senior Quantitative Analyst, Risk Modelling

  • Job Reference: R-00130697
  • Date Posted: 14 July 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 Senior Quantitative Analyst

  • In this key role, you’ll be supporting strategic objectives to inform business risk and reward decisions, using our counterparty credit and market risk models
  • Throughout the course of your work, you’ll be assessing and challenging the mission-critical models used in the division, while following through on findings with senior management
  • It’s a collaborative and high-profile role, where you can expect excellent exposure for you and your work

What you’ll do

As a Senior Quantitative Analyst, you’ll review, test, and provide development insight for the models used in the bank's credit and market risk frameworks. This includes models used in decision-making, exposure calculations, and capital requirements. We’ll also look to you to deliver MI analytic insight into the performance and suitability of models and how they might be improved.

Your responsibilities will include:

  • Supporting regulatory engagement in relation to risk models and model frameworks
  • Producing clear and well-presented analysis, and providing actionable MI on all aspects of model performance
  • Identifying opportunities for improvement, both in terms of the models and measures produced, and the approaches and processes used within the team
  • Working effectively with other risk functions, the customer franchises and broader functions so that the model suite is integrated with other activities, ensuring effective and efficient delivery

The skills you’ll need

You’ll need to have experience in designing, writing, and testing financial risk or pricing models from an investment banking markets perspective. We’ll also expect you to have a degree in mathematics or mathematical science, and a research-based degree.

In addition, you’ll have:

  • The ability to translate complex and statistical techniques into simple, easily understood concepts
  • A background of successfully using and deploying new data sources, approaches and tools
  • Strong IT skills, primarily Python and Excel, with a strong understanding of the principles of good coding and operational risk control