Counterparty Risk Quantitative Analyst, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Counterparty Credit Risk Modelling team within DART is looking to add an SVP model developer to join CCR model development team in Warsaw, Poland. The team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures.

Job Responsibility:

Contribute to counterparty credit risk model development
Perform rigorous model testing including back-testing
Conduct statistical analysis on large volume of financial data
Prepare model documentations and coordinate with risk IT technology
Build-up of local expertise in counterparty credit risk models
Support for regulatory capital model approvals and related risk management processes
Gain extensive product/structure knowledge of all asset classes
Gain deep understand on industry regulatory requirements
Interaction with all businesses across Citi

Requirements:

7+ years of experience with Quant ideally within the financial industry
Excellent mathematical skills
Sound knowledge of statistical modelling concepts, stochastic calculus, linear algebra and industry best practices
Experience in counterparty credit risk modelling is advantageous
Solid programming skills in Python
C++ is preferred
Ability to deliver compelling presentations and influence executive audiences
Excellent communication skills
Ability to engage and inspire team forward
Ability to drive innovation via thought leadership while maintaining end-to-end view
Effective cross-functional project, resource, and stakeholder management
Effectively engage with internal audit and external regulators
Intellectual curiosity to stay abreast of technological advances

Nice to have:

Experience in counterparty credit risk modelling
C++ programming skills

What we offer:

Private Medical Care Program
Life Insurance Program
Pension Plan contribution (PPE Program)
Employee Assistance Program
Paid Parental Leave Program (maternity and paternity leave)
Sports Card
Holidays Allowance
Sport and team recreation activities
Exclusive offers and discounts for employees
Access to learning and development resources
Discretional annual performance related bonus
Chance to make a difference with affinity networks and charity initiatives

Additional Information:

Job Posted:
August 28, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Counterparty Risk Quantitative Analyst