Quantitative Analyst, Citi

Quantitative Analyst

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The Market Quantitative Analysis (MQA) team is seeking a Quantitative Analyst to join the Counterparty Credit Risk (MQA-CCR) team. This team plays a critical role in developing and maintaining the end-to-end methodologies required to calculate counterparty credit risk exposures for derivatives. This includes simulation and pricing across all asset classes, accounting for the effect of risk mitigants.

Job Responsibility:

Develop, enhance, and maintain counterparty credit risk models and their underlying analytics library
Design and implement robust methodologies, advanced algorithms, and sophisticated diagnostic tools
Interpret complex model outputs and communicate comprehensive insights to internal stakeholders and external clients
Collaborate with risk quantitative analysts, technology professionals, and structurers to integrate models and solutions

Requirements:

Strong technical and programming skills in C++ and Python
Experience in developing complex numerical algorithms or large-scale data processing systems
Solid understanding of statistical and mathematical modeling techniques
Knowledge of numerical methods, stochastic calculus, Monte-Carlo techniques and statistical inference
Ability to independently problem-solve and drive solutions from conception to implementation
Excellent communication skills (written and verbal)
Strong work ethic and team player with excellent time management skills
Master's or PhD degree in a quantitative field (Mathematics, Physics, Statistics, Financial Engineering, Computer Science)
5+ years experience in quantitative modeling and analytics within financial derivatives or risk management

What we offer:

Private healthcare
Award winning pension scheme
Multisport
Life insurance
Holiday allowance
Anniversary program
Competitive maternity and paternity scheme
Hybrid model of work
Flexible working hours
Structured onboarding process
Extensive training offering (Udemy, Degreed)
Unlimited development opportunities within Citi global network

Additional Information:

Job Posted:
September 17, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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