Quantitative Analyst – Climate Risk

Location: fully remote or Cracow

Type: Full-time

Rate: depends on your expectations

Languages: English, Polish

Key Responsibilities:

🔹 Risk Model Development & Enhancement:

• Design, implement, and maintain models for Counterparty Credit Risk (CCR) and Traded Risk, including VaR, Stressed VaR, RNIV, IRC, PFE, EPE, CVA, and Capital Models.
• Develop Climate Risk models aligned with Science-Based Targets and sustainability objectives.
• Ensure compliance with Basel III/IV, FRTB, and climate-related regulations.

🔹 Model Validation & Governance:

• Validate model assumptions and methodologies, assessing performance and regulatory alignment.
• Document model development processes and results for internal governance and regulatory bodies.

🔹 Climate Risk Integration:

• Support the integration of climate risk factors into existing credit exposure models and stress-testing frameworks.
• Leverage climate scenario analysis to evaluate physical and transition risks.

🔹 Programming & Automation:

• Develop Python-based tools, libraries, and analytics to enhance model efficiency and risk measurement processes.
• Optimize and automate existing risk workflows and reporting processes.

🔹 Cross-Functional Collaboration:

• Work closely with traders, risk managers, climate strategy teams, and IT to deliver risk insights and ensure robust risk management frameworks.
• Translate complex quantitative outputs into actionable insights for senior stakeholders.

What We’re Looking For:

✅ Education & Qualifications:

• Degree (MSc/PhD preferred) in Quantitative Finance, Mathematics, Statistics, Engineering, or a related field.
• Professional certifications: GARP SCR, FRM, or equivalent Climate Risk credentials.

✅ Experience:

• Proven experience (4+ years) in quantitative risk modeling, preferably within investment banking or consulting.
• Hands-on experience in Climate Risk modeling, Climate Scenario Analysis, and alignment with Net-Zero/SBTI targets.
• Deep understanding of Counterparty Credit Risk (CCR) and Traded Risk models under FRTB and Basel frameworks.

✅ Technical Skills:

• Proficient in Python for model development (NumPy, Pandas, SciPy, scikit-learn).
• Experience with SQL, MATLAB, or R is a plus.
• Familiarity with climate data sets and sustainability reporting frameworks (TCFD, EU Taxonomy, etc.).

✅ Soft Skills:

• Strong analytical and problem-solving abilities.
• Excellent communication skills—capable of presenting technical content to non-technical stakeholders.
• Collaborative mindset, able to work across multidisciplinary teams.