Citi Group Quantitative Risk Analyst 

Poland, Masovian Voivodeship, Warsaw 

740845961

Responsibilities:

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

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

• Contribute in the production and UAT releases of covariance matrices;

• Perform impact analysis of any changes in covariance matrices in reference to internal risk management as well as 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 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.

Qualifications:

• Experience: 2+ year experience as a quantitative analyst or risk analyst in the financial industry;

• Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required.

• Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;

• Passionate interest in finance with strong knowledge on regulatory measures of counterparty credit risk and regulatory models;

• Comfortable interfacing with business clients. Proficiency handling very large data sets;

• Proficient in Microsoft Office with an emphasis on MS Excel;

• Consistently demonstrates clear and concise written and verbal communication skills;

• Self-motivated and detail oriented;

• Demonstrated project management and organizational skills and capability to handle multiple projects at one time;

• Master or higher degree is strongly preferred, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, finance, etc.)

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

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

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