Model Developer / Data Scientist, Credit Risk, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Senior quantitative analyst position in Credit, Climate, and Obligor Risk Analytics group responsible for development of credit risk models used for Basel, stress-testing, loss reserves for Citi's wholesale credit portfolios. Highly visible individual contributor position covering wide range of responsibilities to support risk management of global wholesale credit portfolios.

Job Responsibility:

Research, develop, and maintain advanced scenario-based loss likelihood and loss severity models for wholesale credit portfolios
Develop quantitative methodologies, algorithms, and tools for model development
Conduct reliability analyses and perform quality control of modeling data and model results
Manage model risk across the entire model life-cycle
Create and maintain technical documentation for modeling methodologies and applications
Implement quantitative analytical tools and support model migration to the production environment
Liaise with business risk managers, clients and partners in the analysis and interpretation of model results
Prepare and deliver training materials, presentations, and reports on credit risk analytics
Provide leadership and guidance for junior modelers
Effective cross-functional project, resource, and stakeholder management

Requirements:

8+ years in quantitative financial modeling
Hands-on experience with research, development, validation and implementation of credit risk models
Experience in credit risk parameter (Probability of Default, PD/Loss Given Default, LGD/Exposure at Default, EAD) modeling and/or validation
Sound knowledge and understanding of a variety of model development methodologies and industry best practices
Proficiency in working with large data sets and data pulls from relational databases
Knowledge of wholesale credit products and financial markets at a financial institution
Strong programming skills in Python, C++, or other advanced programming languages
Master or PhD degree in Mathematics, Physics, Computer Science, Econometrics, Statistics, Engineering or another quantitative field

Nice to have:

Knowledge of bank stress testing and loss reserves for wholesale credit portfolios for CECL and CCAR or global IFRS9/ICAAP calculation
Experience in Commercial Real Estate PD and LGD modeling
Knowledge of git and GitHub/bitbucket

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 learning and development resources
Annual performance related bonus

Additional Information:

Job Posted:
August 28, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Model Developer / Data Scientist, Credit Risk