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Market Risk Senior Analyst

https://www.citi.com/ Logo

Citi

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Location:
Poland , Warsaw

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Category:
Finance

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Contract Type:
Not provided

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Salary:

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Job Description:

This position provides an opportunity for an experienced risk analyst with solid programming background to join Citi's model maintenance and implementation for market risk analytics. It involves exposure to senior management, collaboration across teams, and interaction with regulators. The role includes developing and enhancing risk models, quantitative analysis, coding, regulatory compliance, and ownership of risk-related projects.

Job Responsibility:

  • construct covariance matrices for historical periods of stress for various portfolios
  • identify and address specific needs of Citi legal entities within EMEA region to meet local regulatory expectation in market risk modelling
  • work with existing market risk models and provide solutions where weaknesses are identified in testing or where new business needs require model enhancements
  • develop RNIV models to quantify non-standard market risks of complex products
  • research, support, enhance and maintain market risk models
  • design and develop in-house software for quantitative analysis
  • interact confidently with other risk management teams, the front office, technology and control groups
  • model and explain the behavior of a complex portfolio of vanilla and exotic derivatives with greeks and risk factor simulations
  • understand differences between regulatory regimes around the globe
  • perform advanced analytics with hundreds of thousands of risk factor time series
  • code in Python, Bash, SQL, Perl and present results to senior stakeholders
  • use PCA for yield curve decomposition and credit spread risk modelling, CAPM model for equity risk modelling, VaR back testing
  • take end-to-end ownership of projects and processes
  • collaborate within team to solve business problems, support training standards, and provide leadership for junior modelers
  • ensure compliance with regulatory requirements, internal policies, procedures, and models.

Requirements:

  • 5+ years of experience
  • experience in one or more of the following fields: quantitative risk modelling, market risk management practices, risk regulations, numerical computation, statistics or data analysis, financial model development, application or validation
  • strong hands-on IT skills, for example, with Python, SQL, Unix
  • sound knowledge of statistical modelling concepts and industry best practices
  • experience with econometric and statistical modelling or application risk scoring
  • excellent quantitative and analytic skills
  • ability to derive patterns, trends and insights
  • experience working in big data environments
  • intellectual curiosity to stay abreast of technological advances
  • demonstrated initiative and proactive approach
  • strong sense of ownership and accountability
  • rapid learning ability and adaptability to new concepts/technologies
  • commitment to continuous process and tool improvement
  • self-motivated and detail oriented
  • demonstrated project management and organizational skills and capability to handle multiple projects at one time
  • excellent written and verbal communication skills
  • educated to postgraduate level in a quantitative field (e.g. finances, economics, mathematics, physics, statistics, data science and engineering)
  • PhD or equivalent degree will be an additional asset.
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)
  • sport card
  • holidays allowance
  • sport and team recreation activities
  • special offers and discounts for employees
  • access to an array of learning and development resources
  • annual performance-related bonus
  • participation in affinity networks and charity initiatives.

Additional Information:

Job Posted:
November 14, 2025

Employment Type:
Fulltime
Work Type:
Hybrid work
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