Quantitative Risk Architect – FX & Energy Models in Production

Somosierra Commodities; Warszawa; On-site; PLN 180,000 - 320,000; Full time

Benefits offered by this job

Medicover healthcare

English lessons

Benefits platform

Job summary

Somosierra Commodities seeks a Quantitative Analyst to lead the quantitative side of risk management, building models for FX and energy prices, forecasting exposures, and guiding hedging decisions.

You will define the methodology, validate data, and deploy models with an engineering team while reporting to the CFO. A strong foundation in statistics, time-series analysis, and Python is essential.

Qualifications

• Higher education in a quantitative field such as mathematics, econometrics, physics, CS, or financial engineering.
• At least two years of practical experience in a quantitative field related to risk, market analysis, brokerage, asset management/funds, banking, or trading.
• Strong Python skills with pandas, NumPy, SciPy, statsmodels or arch, and SQL.
• Solid knowledge of statistics and time-series econometrics, including backtesting methods.
• Ability to translate model outputs into clear management recommendations.

Responsibilities

• Build and maintain forecasting models for FX rates and energy commodity prices.
• Perform end-to-end P&L attribution, breaking down results by market, volume and FX drivers.
• Measure market risk with VaR, exposure limits, and breach analysis.
• Perform stress testing and sensitivity analysis, forecasting margin requirements.
• Assess hedging instrument effectiveness and value instruments for hedge accounting.
• Develop methodology for counterparty credit risk and trading limits.
• Define data requirements and validate input data quality via Data Engineer outputs.
• Hand models to FinTech for production deployment with clear acceptance criteria.
• Develop the risk framework including methodologies, thresholds and documentation.
• Provide analyses and recommendations to CFO and Management Board on hedging structures and risk costs.

Skills

Python

SQL

Time-series econometrics

Polish (C2)

English (B2+)

Education

Bachelor's or MSc in quantitative field

Tools

Bloomberg API

Refinitiv

Power BI

Airflow

Job description

Somosierra Commodities seeks a Quantitative Analyst to lead the quantitative side of risk management, building models for FX and energy prices, forecasting exposures, and guiding hedging decisions.

You will define the methodology, validate data, and deploy models with an engineering team while reporting to the CFO. A strong foundation in statistics, time-series analysis, and Python is essential.