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Quantitative 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:

340990.00 - 580610.00 PLN / Year
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Job Description:

The Counterparty Credit Risk Model Production team within DART is seeking an SVP Model Developer to join the team in Warsaw, Poland. This team is responsible for calibrating and maintaining models that calculate counterparty credit risk exposures for derivatives and SFT products. These models are crucial for advanced Basel regulatory capital calculations and internal risk management measures.

Job Responsibility:

  • Develop, maintain, and enhance models for counterparty credit risk, with a specific focus on the construction and calibration of counterparty risk covariance matrices and the identification of stress periods
  • Calibrate and maintain simulation models for counterparty credit risk purposes
  • Contribute to the production and User Acceptance Testing (UAT) releases of covariance matrices
  • Perform impact analysis of any changes in covariance matrices with reference to internal risk management and regulatory measures of counterparty credit risk (EPE, PFE, CVA)
  • Develop and implement methodologies, algorithms, and diagnostic tools for testing model robustness, stability, reliability, performance, and the quality control of modeling data
  • Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, and process and quality controls
  • Prepare model documentation and coordinate with Risk IT technology to test the implementation of counterparty credit risk models
  • Build local expertise in counterparty credit risk models and foster relationships with internal risk management and other functions
  • Support various tasks in response to regulatory and internal risk management requirements
  • Prepare reports and detailed quantitative analyses for presentation to senior management and regulators
  • Provide training to other team members when necessary, as well as support in daily work
  • Assist the team head in managing day-to-day processes and tasks within the team

Requirements:

  • Solid programming skills, with experience in statistical/data analysis techniques and numerical implementations, and some familiarity with modern software development tools
  • Excellent mathematical skills, including stochastic calculus, probability, and statistics
  • Passionate interest in finance with strong knowledge of regulatory measures of counterparty credit risk and regulatory models
  • Comfortable interfacing with business clients
  • Proficiency in handling very large datasets
  • Effective cross-functional project, resource, and stakeholder management
  • ability to effectively engage with internal audit and external regulators
  • Intellectual curiosity to stay abreast of technological advances
  • Consistently demonstrates clear and concise written and verbal communication skills
  • Self-motivated and detail-oriented
  • Demonstrated project management and organizational skills, and the capability to handle multiple projects simultaneously
  • Master's or PhD degree in a quantitative field (Mathematics, Statistics, Finance) with extensive demonstrated years of experience as a quant in the financial industry
What we offer:
  • Work in a challenging area of the financial industry with one of the world's leading companies, gaining exposure to a variety of products, processes, and controls
  • Cooperation with a high-quality, international, multicultural, and global team
  • Work in a friendly and diversified environment that appreciates differences in style and perspective, leveraging them to add value to decisions leading to organizational success
  • Management that supports balanced and agile work (flexible working hours, home office)
  • Attractive benefits package (Benefit System, medical care, pension plan, etc.)
  • A chance to make a difference through various affinity networks and charity initiatives

Additional Information:

Job Posted:
March 22, 2026

Employment Type:
Fulltime
Work Type:
On-site work
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