Quantitative Risk Analyst, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The Quantitative Risk Analyst will join the Market Risk Analytics team to focus on critical deliverables involving complex market risk models related to the FRTB-SA and Basel 2.5 implementations. The candidate will work with quantitative methodologies, interacting with different risk management teams, front office groups, and regulatory bodies, while providing scalable and robust analytics solutions.

Job Responsibility:

Develop methodology for quantitative analysis required on various work streams for FRTB-SA and Basel 2.5 implementation within the bank
Provide robust, controlled, reusable, and scalable analytics capabilities for the rapid variations of FRTB-SA rules applied in the various regulatory jurisdictions in which Citi operates
Produce high quality documentation for the FRTB-SA and Basel 2.5 processes, interact with the model validation team
Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements
Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes
Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

Requirements:

Experience in one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics, FRTB: BCBS, CRR2, CRR3, etc. regulations, Basel 2.5 regulations
Ability to interpret and translate regulations into technical specification to serve as foundation for the implementation, testing, validation, and compliance
Strong hands-on IT skills, for example, with Python, R, VBA, C/C++, SQL, Unix
Keen interest in banking and finance, especially in the field of Quantitative Risk Modelling
Excellent oral and written communication skills
Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, data science and engineering)
PhD or equivalent degree / MSc level qualification is strongly preferred.

Nice to have:

Derivatives pricing
Exotic products
Risk management practices
FRTB: BCBS, CRR2, CRR3
Basel 2.5 regulations.

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
A discretional annual performance related bonus.

Additional Information:

Job Posted:
August 01, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Risk Analyst