Counterparty Credit Risk & Portfolio Analytics Lead

Citibank (Switzerland) AG; Warszawa; Hybrid; Confidential; Full time

Benefits offered by this job

Hybrid work model

Private Medical Care

Life Insurance

Parental Leave

Pension plan contributions

Employee Assistance Program

Job summary

Citibank (Switzerland) AG in Warsaw, Poland is seeking a Counterparty Credit Portfolio Officer to develop and enhance risk tools for measuring exposure, monitor portfolios, and support margin modeling and real-time risk controls. The role collaborates with Quantitative Risk, Markets Analytics, and Technology teams.

The ideal candidate has a quantitative degree, risk management experience, and strong Excel/VBA skills, with Python or R as a plus.

Qualifications

• Bachelor’s degree or higher in a quantitative field such as mathematics, science, finance, or economics.
• Experience in managing market or credit risk, or training in finance, mathematics, or other quantitative fields.
• Experience working on large-scale risk technology projects and/or model development.
• Strong analytical skills with an aptitude for tackling issues through quantitative modeling and data assimilation.
• Excellent written and verbal communication skills, with the ability to work effectively with cross-functional teams.
• Strong Excel skills, ideally including VBA; programming skills in Python, R, or other statistical languages are a plus.
• Sound risk and business judgment, with essential stress testing skills.

Responsibilities

• Develop and enhance tools for the measurement, monitoring, and management of counterparty exposure, including PFE, risk capital, wrong way risk, and stress testing.
• Work closely with Quantitative Risk and Markets Analytics teams, Technology, and Model Validation groups on counterparty credit risk model development and evolution.
• Collaborate with business managers and In-Business Risk teams on margin model development, new product approvals, and real-time monitoring and controls.
• Monitor client portfolios to ensure that credit, liquidity, documentation, legal, and reputational risks are controlled.
• Perform daily and weekly risk analysis and reporting on existing client portfolios, as well as customized risk analysis for new clients.
• Communicate key findings to senior management and participate in risk forums.
• Create presentations and documents for internal and external use on topics such as risk methodologies and key risk issues.
• Analyze the control environment, including the review of new systems, processes, and policies related to market and/or credit risk.

Skills

Analytical skills

Quantitative modeling

Communication skills

Cross-functional collaboration

Stress testing

Education

Bachelor's degree in quantitative field (math, science, finance, economics)

Tools

Excel (VBA)

Python

R

Job description

Citibank (Switzerland) AG in Warsaw, Poland is seeking a Counterparty Credit Portfolio Officer to develop and enhance risk tools for measuring exposure, monitor portfolios, and support margin modeling and real-time risk controls. The role collaborates with Quantitative Risk, Markets Analytics, and Technology teams.

The ideal candidate has a quantitative degree, risk management experience, and strong Excel/VBA skills, with Python or R as a plus.