Senior Quantitative Analyst

4 tygodni temu

Warszawa, Mazovia, Polska 00002 Citibank, N.A. Pełny etat

About DART:

DART is the leading risk modeling and data analytics team at Citibank, N.A. We leverage mathematical modeling and cutting-edge technologies to calculate risk for the largest portfolios in the company. Our team uses visualizations and dashboards to communicate risk to senior stakeholders, ensuring the bank has adequate capital during crisis.

About People in DART:

We are a diverse group of professionals with backgrounds in physics, engineering, finance, economics, and data science. As a member of our team, you will work alongside experienced colleagues to further develop your analytical and quantitative skills. Your responsibilities will include building models and analytical applications to tackle real-world challenges, paving the way for a career as a risk management expert and leader.

Responsibilities:

  • Collaborate with colleagues in Risk Management to understand the drivers of losses and the business context to improve the design of the analytics.
  • Develop stress loss models for operational risk models, including regulatory capital models and CCAR models.
  • Leverage knowledge of risk assessment, risk monitoring, and risk models and techniques to develop, test, document, and enhance portfolio models, visualization, and diagnostic tools for testing model robustness, stability, and performance.
  • Research and analyze financial loss data, and issue special reports identifying risk drivers, estimating financial risk, and measuring model risk.
  • Develop and maintain clear documentation for methodologies and applications, including project plans, model descriptions, mathematical derivations, data analysis, process, and quality controls.
  • Support the implementation of analytical tools by reporting functions, and the migration of models to the production environment. Facilitate cross-functional dialogue with business and clients to improve risk reporting and internal and external regulatory compliance.
  • Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
  • Provide timely and accurate responses to business, management, and regulators. Participate in discussions with model validation, internal and external audits, and regulatory reviews.

Qualifications:

  • Masters (PhD preferred) in a quantitative discipline such as statistics, economics, math, or other sciences and engineering.
  • Operational risk experience is helpful but not required.
  • 1-3+ years of financial experience.
  • An interest and ability to learn the business, regulatory, and risk management context.
  • Extensive experience with statistical analysis, modeling techniques, and numerical implementations.
  • Programming skills are required. Matlab, SAS, and R are helpful but prior experience in them is not required.
  • Experience in developing and maintaining clear documentation for models, model validation, project plans, and processes.
  • Excellent written and verbal communication skills and the ability to discuss technical issues with clients, peers, auditors, regulators, and senior management.

We offer:

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to a 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).
  • An attractive benefits package (Benefit System, medical care, pension plan, etc.).
  • A chance to make a difference with various affinity networks and charity initiatives.

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