Citi Group Quantitative Analyst - Risk 

Poland, Masovian Voivodeship, Warsaw 

845759838

QRL (Quant Risk Libraries) implements risk models to ensure that the bank’s lending portfolios have adequate capital during crisis. We use mathematical modeling and the latest technologies to build loss forecasting and stress testing pipelines. Our systems are responsible for calculating risk on some of the largest portfolios in Citi.

We are a diverse group of professionals with backgrounds in Physics, Engineering and Computer Science. You will work alongside experienced colleagues to further develop your analytical and quantitative skills. You will build skills in building products from the ground up for solving real life problems and develop a career as a risk model expert.

Responsibilities:

• Implement models for credit risk and stress testing using sound numerical and computational techniques

• Develop methodologies, algorithms and diagnostic tools for testing model implementation stability andperformance.

• Present the model, technology platform and tools to business risk managers, clients, and partners, and engage them in analysis and interpretation of results, incorporating their feedback as appropriate into the implementations

• Perform reliability analysis and quality control of modeling data and model results.

• Develop and maintain technical documentation for economic variable forecasting methodologies and applications; including project plans, model descriptions, mathematical derivations, data analysis, process and qualitycontrols.

• Participate in discussions with model validation, internal and external audits and regulatory reviews.

Qualifications:

• Solid programming skills and experience modeling techniques and numericalimplementations.Fluency in Python, Linux, Numerical libraries and data processing experience.

• Experience in numerical and quantitative methods.

• Keen understanding of data reliability analysis and measuring data quality.

• Interest in developing a career in finance, financial experience is not a requirement.

• Ability to think independently and creatively, with sound problem-solving skills, and communicate complex ideas clearly

• Experience of one or more of the following is an advantage but not essential: derivative pricing and exotic products; risk management practices and procedures; numerical methods; Monte Carlo simulations; statistical hypotheses testing; banking-book products, risk analytics for wholesale stress testing for credit portfolios, credit risk modeling and risk management or related areas.

• Strong interpersonal skills and the ability to foster a collaborative environment

• Organized, disciplined and detail oriented with sound problem-solving skills, and the ability to think creatively.

Education:

• Advanced degree in quantitative field such as Mathematics, Statistics, Physics, Financial Engineering, Economics

• 2-5 year's relevant experience, fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CFA

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits such as:

• 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

• A chance to make a difference with various affinity networks and charity initiatives

Time Type:

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