Counterparty Credit Risk Model Analyst

Citigroup Inc.; Warszawa; Hybrid; PLN 165,000 - 281,000; Full time

Benefits offered by this job

Defined Contribution Pension Plan (6%)

Private Medical Care Package

Life Insurance

Job summary

Citigroup Inc. is seeking a Senior Quantitative Analyst to develop and maintain models for counterparty credit risk, including covariance matrices and simulation models.

The role involves calibration, impact analysis for regulatory measures, and delivering quantitative analyses to senior management. The candidate should have 2+ years in finance risk, strong programming skills, and a strong mathematical background with stochastic calculus.

Qualifications

• Master or higher degree in a quantitative field is strongly preferred.
• 2+ years of experience as a quantitative analyst or risk analyst in the financial industry.
• Solid programming skills with experience in statistical/data analysis techniques and numerical implementations.
• Excellent mathematical skills including stochastic calculus, probability and statistics.
• Proficiency handling very large data sets and interfacing with business clients.

Responsibilities

• Develop, maintain and enhance models for counterparty credit risk, focusing on covariance matrices and stress period construction/calibration.
• Calibrate and maintain simulation models for counterparty credit risk.
• Contribute to production and UAT releases of covariance matrices.
• Analyze impact of covariance matrix changes on internal risk management and regulatory measures (EPE, PFE, CVA).
• Develop methodologies, algorithms and diagnostic tools for testing model robustness and data quality.

Skills

Statistical analysis

Programming skills

MS Excel

Education

Master's degree in quantitative field

Job description

The Counterparty Risk Analytics (CRA) team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE/EPE).

Additionally, the team provides live-deal analysis to business and risk management by calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk, and ensures models and data logics are implemented correctly in credit risk systems.

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

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees

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.

If you have any questions or would like to discuss this opportunity further, please don't hesitate to reach out to Karola Sulińska at [e-mail].

#LI-KS

Job Family Group:

Risk Management

Job Family:

Model Development and Analytics

Time Type:

Full time

Primary Location Full Time Salary Range:

zł165,020.00 - zł280,980.00

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

Other Relevant Skills

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

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