Citi Group Wholesale Credit Loss Modelling - Quantitative Analyst VP 

Poland, Masovian Voivodeship, Warsaw 

909556428

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

The Wholesale Credit and Climate Risk (CORA) group within Citi Risk Data Analytics Reporting and Technology (DART) is looking to add an experiencedat

What you’ll do:

• Research, develop, and maintain wholesale credit loss models used for regulatory stress testing, with focus on ICAAP and EBA stress testing
• Support wholesale credit loss model development for firm’s global stress testing framework, including CCAR, climate and internal stress testing
• Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions
• Provide analytical support to country/regional risk management teams; Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
• Actively engage across all model development teams with WCCR, including PD/LGD/EAD models, and CECL/IFRS9 models.​

What we’ll need from you:

• Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required.
• Demonstrable interest in applying sophisticatedmathematical/analyticaltechniques to solve real-world problems—especially in banking, finance, or risk management—is required
• 3+ years of experience in quantitative financial modelling. Wholesale credit risk experience is preferred.
• Good knowledge of bank stress testing in wholesale credit portfolios.
• Experience in CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modelling, or CECL/IFRS9 calculation is a plus.
• Familiar with statistics packages and regression models.
• Strong programming skills in Python, R, C++, or other objected oriented languages.
• Excellent communication skills, verbal as well as written.
• Fluency in speaking, reading, and writing English is required.

What we can offer you:

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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