Risk Quantitative Analyst

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your quantitative skills along with your development and implementation of credit risk models experience to Citi's Risk Management team.

By Joining Citi, you will become part of a global organization whose 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 Credit, Climate, and Obligor Risk Analytics (CORA) group within Citi is looking to add an experienced Quantitative Analyst at Senior Vice President level to join the Loss Forecast Analytics team in Warsaw, Poland. The team is responsible for development of the loss reserves and stress-testing models and analytical functions for Citi's wholesale credit portfolios.

This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and lead all aspects of the model development process, which includes interaction with Business, Risk, Finance, Model Validation, and Regulators.

What you'll do:

• Research, develop, and maintain wholesale credit loss models used for loss forecasts, including reserves and stress testing, both internal and regulatory, covering CECL, CCAR/DFAST, IFRS9, ICAAP, and internal stress testing
• Implement loss/reserve models and analytical functions in the wholesale credit risk library
• Support business, finance, risk managers, foundational credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions.
• 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 CORA, including PD/LGD/EAD and loss models.
• Help introduce best-in-class, cutting edge Model techniques to drive profitability through innovation.
• Ensures timely model performance tracking and assist in process automation to drastically improve process/operation efficiencies (where possible) that will enable the business and risk to make rapid decisions against market condition changes.
• Supports the development of training curriculum and standard
• Provide leadership and guidance for junior modelers.

What we'll need from you:

• Master or PhD degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required.
• 5+ years of experience in quantitative financial modelling. Hands-on experience with the research, development, and implementation of credit risk models.
• Extensive knowledge of wholesale credit products and financial markets at a financial institution.
• Solid knowledge of bank stress testing and loss reserves for wholesale credit portfolios.
• Familiar with statistics packages and regression models.
• Strong programming skills in Python, C++, or other advanced programming languages.
• Excellent communication skills, verbal as well as written.

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.

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation

Time Type:
Full time

Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review
Accessibility at Citi.
View Citi's EEO Policy Statement and the Know Your Rights poster.