Market Risk Senior Analyst, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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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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Market Risk Senior Analyst