Citi Group Senior Quantitative Risk Model Analyst 

Poland, Masovian Voivodeship, Warsaw 

182037402

The group is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures.

Responsibilities:

• Develop, maintain and enhance models for counterparty credit risk especially in reference to construction and calibration of counterparty risk covariance matrices;

• Calibrate and maintain simulation models for the purpose of counterparty credit risk;

• Contribute to the production and user acceptance tests releases of covariance matrices;

• Perform impact analysis of any changes in covariance matrices as well as CCR model parameters in reference to internal risk management as well as regulatory measures of counterparty credit risk;

• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data;

• Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls;

• Support various tasks in response to regulatory and internal risk management requirements;

• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

Qualification:

• Experience: 3+ year experience as a quantitative analyst or risk analyst in the financial industry;

• Advanced programming skills in Python are essential;

• Knowledge of counterparty risk is a strong plus;

• Excellent mathematical skills;

• Good verbal and written communication is very important.

We offer:

• Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls

• Cooperation with a high quality, international, multicultural and global team

• Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

• Management supporting 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 with various affinity networks and charity initiatives

Time Type:

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