Senior Quantitative Analyst, Traded Risk Models

  • Job Reference: R-00114898
  • Date Posted: 2 September 2021
  • Employer: RBS
  • Website:
  • Location: Warszawa
  • Salary: On Application
  • Sector: Accounting, Banking & Financial Services
  • Job Type: Full Time

Job Description

Join us as a Senior Quantitative Analyst, Traded Risk Models

  • This is an opportunity for a passionate and driven model risk specialist to join us
  • We’ll look to you to review and validate assigned risk models used within NatWest Markets, with a focus on both internal models approach and internal modelling method related models
  • It's an ideal role to gain detailed exposure to the developing world of model risk, as well as to a range of stakeholders and senior executives
  • This role will be available at vice president level

What you'll do

This role will see you performing model risk analysis to satisfy regulatory queries and requirements, as well as assessing the adequacy of modelling or data assumptions, documenting all the analysis in a succinct and clear manner. We'll also look to you to undertake data analysis to make sure that data risks are adequately highlighted as well as assessing the models’ compliance with regulations, internal policies and standards.

Your responsibilities will also include:

  • Undertaking in-depth assessments of the models’ subcomponents, making sure models are fit for purpose for their designated use
  • Writing clear and concise reports and presenting your findings and analysis
  • Reporting on your findings of model risk management reviews
  • Making sure that model risk management aligns with our model risk policy, and undertaking model risk assessments to identify potential risks
  • Providing expert advice on aspects of model risk management, including providing senior executives with relevant MI and reports, escalating concerns where appropriate

The skills you'll need

We're looking for someone with a postgraduate degree or similar in a quantitative subject, such as Mathematics, Physics or Quantitative Finance. You’ll have experience of developing and reviewing reviewing internal models approach or internal modelling method related models.

Along with this, you'll have an awareness of risk model related regulatory requirements and an in-depth understanding of risk modelling in one or more of the following areas: traded market risk, non-traded market risk or counterparty credit risk.

We’ll also expect:

  • The ability to take responsibility for your own model reviews
  • The ability to communicate effectively with management and model stakeholders, including senior leaders, traders and quantitative analysts
  • Programming experience in C++, Python or R

A working knowledge of FRTB topics would be an advantage.