Counterparty Risk Analytics Quant — Covariance Modeling

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

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.