Quantitative Risk Analyst

4 tygodni temu

Warszawa, Mazovia, Polska 11101 Citibank Europe plc Poland Pełny etat

Are you looking for a challenging role that will allow you to apply your analytical skills in a global financial institution? Then consider a position in Citi's Counterparty Credit Risk Quantitative Analysis team in Warsaw.

By joining Citi, you will become part of a global organization that provides financial services to clients worldwide. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview:

The Counterparty Credit Risk Quantitative Analysis team is responsible for developing and maintaining methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures.

Key Responsibilities:

  • Contribute to counterparty credit risk models and their analytical library
  • Perform rigorous model testing, including back-testing and other testing involved in the model development process
  • Develop methodologies, algorithms, and diagnostic tools for testing model implementation stability and performance
  • Support for regulatory capital model approvals and related risk management processes
  • Build-up of expertise in counterparty credit risk models and relationships with internal risk management and other functions

Requirements:

  • A background demonstrating strong analytical critical thinking ability
  • Implementation work will require excellent Python and C++ programming skills
  • Junior experience as a quant in the financial industry
  • MSc/PhD in a quantitative field
  • Solid ability to apply mathematical, financial, and statistical theory in practice
  • Excellent communication skills, both oral and written
  • Strong motivation and desire to learn

Development Opportunities:

  • In-depth knowledge of all counterparty credit risk models and trading book products will provide significant business and personal development opportunities
  • Gain extensive product/structure knowledge across asset classes
  • Gain deep understanding of industry regulatory requirements

By joining Citi Solutions Center Poland, you will enjoy a competitive base salary, a range of benefits, and a chance to make a difference with various affinity networks and charity initiatives.

Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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