The role is 100% remote

 

CAPCO POLAND 

We are a global technology and business consultancy, focused on the financial services sector. We are passionate about helping our clients succeed in an ever-changing industry. 

We are: 

  • Experts in banking and payments, capital markets and wealth and asset management 
  • Committed to growing our business and hiring the best talent to help us get there 
  • Focused on maintaining our nimble, agile and entrepreneurial culture 

 

THINGS YOU WILL DO   

Product Control (PC) Analytics is a group within Global Markets Finance with representation in London, Kraków, Paris, New York, Hong Kong and Dubai. PC Analytics is a centralized specialist quantitative team dedicated to implementation and refinement of fair value adjustment methodologies, development and support of quantitative tools to enhance the control framework for Product Control, Market Risk Management and the business, ensuring methodologies are compliant with new regulations. The candidate will be joining a team of experienced quantitative analytics professionals with deep subject matter expertise.

 

Main Duties:

  • Development of new (or updating existing) mathematical finance models for Credit Valuation Adjustment (CVA), related to recent regulatory Standardised Approach CVA (SA-CVA) requirement within FRTB regulatory framework.
  • Model ownership, responsibility to adjust the model according to business and regulatory requirements.
  • Implementation of CVA calculations through contribution to the PC Analytics C++ library.
  • Maintenance of model and implementation documentation.
  • Close interaction with colleagues in the Product Control, Risk, Front Office, internal model review and governance functions.

 

SKILLS & EXPERIENCES YOU NEED TO GET THE JOB DONE  

  • Strong analytical skills and a proactive approach to problem solving.
  • Education or working experience in financial mathematics, derivatives pricing models, XVA framework or related areas.
  • Masters / PhD in Quantitative Finance, Mathematics, Physics, Computer Science or Engineering discipline.
  • Some programming experience in C++
  • Fluency in English both spoken and written.
  • Good communication skills and willingness to learn.

 

Nice to have

  • Experience in XVAs area.
  • Knowledge of SQL, Python, VBA or other programming languages. Experience with GitHub.

 

WHY WORTH JOINING US 

You will be working on engaging projects with some of the largest banks in the world, on projects that will transform the financial services industry. 

In addition, we offer: 

  • Employment contract and Business to Business as you prefer 
  • A work culture focused on innovation and creating lasting value for our clients and employees 
  • Ongoing learning opportunities to help you acquire new skills or deepen existing expertise 
  • A flat, non-hierarchical structure that will enable you to work with senior partners and directly with clients 
  • A diverse, inclusive, meritocratic culture  
  • Speaking English on daily basis, mainly in contact with foreign stakeholders and peers 
  • Being part of the core squad focused on the growth of the Polish business unit - being part of the growth story 
  • Access to 3.000+ Business Courses Platform 
  • Multiple employee benefit package on employment contract (MultiSport card, private medical care, lunch card)

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