Citi Group Quantitative Risk Analyst 

Poland, Masovian Voivodeship, Warsaw 

426723365

Responsibilities:

• Develop methodology for quantitative analysis required on various work streams for FRTB-SA 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 process, 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.

Skills and Experience:

• 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.
• 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.

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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