Model Risk Manager

Mindbox Sp. z o.o. is a tech-driven company connecting top IT talents with technology projects for leading enterprises across Europe. The role is part of the Model Risk Management team focusing on independent model validation for Market Risk models.

• Knowledge of Market Risk (Traded Risk), Stress Testing, Pricing Modelling.
• Understanding of statistical and financial modelling techniques.
• Familiarity with Market Risk models and performance metrics (VaR, Stressed VaR, IRC, Expected Shortfall, DRC).
• Knowledge of Basel 2.5, FRTB frameworks, and capital requirements.
• Experience with internal banking procedures related to risk management is an advantage.
• Proficiency in at least one statistical modelling language: Python, R, MATLAB, C++, VBA.
• Experience in model development and/or independent model validation.
• Handling requests from internal/external audit and regulators is beneficial.
• Excellent written and verbal communication skills.
• Strong team player with ability to work independently.
• Ability to mentor junior team members and peer-review work.

• Perform independent model validations as part of a specialist quantitative team.
• Validate Market Risk models such as VaR, Stressed VaR, Incremental Risk Charge, Expected Shortfall, Default Risk Charge.
• Assess risks related to model input data quality, performance, and usage.
• Conduct back-testing, sensitivity analysis, and stress testing to evaluate model performance.
• Ensure compliance with Basel III, OCC guidelines, and internal policies.
• Provide critical opinions on conceptual soundness and adequacy of models for intended use.
• Collaborate with model developers, treasury, and risk management teams to mitigate model risk.