Counterparty Risk Modeling Analyst

Citi; Warszawa; Hybrid; PLN 165,000 - 281,000; Full time

Benefits offered by this job

Pension plan 6% PPE contribution

Private medical care

Life Insurance

Parental leave

Sport Card

Holidays allowance

Flex benefits (cafeteria)

Annual discretionary incentive

Employee discounts

Job summary

Citi Solutions Center Poland is seeking a quantitative analyst to develop and maintain counterparty credit risk models and covariance matrices, supporting Basel-related capital calculations and regulatory measures. You will calibrate simulation models, perform impact analysis on EPE/PFE/CVA, and contribute to production releases while interfacing with business teams and regulators.

The role requires 2+ years in finance, strong mathematical and programming skills, and a proactive, detail-oriented

Qualifications

• 2+ years experience as a quantitative or risk analyst in financial industry.
• Strong programming skills with statistical/data analysis techniques and numerical implementations.
• Excellent mathematical skills including stochastic calculus, probability and statistics.
• Interest in finance with knowledge of counterparty credit risk regulatory measures.
• Comfortable interfacing with business clients and handling large data sets.
• Proficient in MS Excel and able to present complex results clearly.
• Clear written and verbal communication skills; self-motivated and detail oriented.
• Demonstrated project management and ability to handle multiple projects.

Responsibilities

• Develop, maintain and enhance models for counterparty credit risk, calibrate covariance matrices.
• Calibrate and maintain simulation models for counterparty credit risk.
• Contribute to production and UAT releases of covariance matrices.
• Analyze impact of covariance changes on internal risk measures and regulatory metrics (EPE, PFE, CVA).
• Develop methodologies, algorithms and diagnostic tools for model testing and data quality.
• Develop, maintain, and enhance technical documentation including project plans and model descriptions.
• Support regulatory and internal risk management tasks as needed.
• Prepare reports and quantitative analyses for senior management and regulators.

Skills

Quantitative analysis

Stochastic calculus

Data analysis

Programming

Excel proficiency

Communication skills

Project management

Education

Master's degree in quantitative field

Tools

MS Excel

Job description

Citi Solutions Center Poland is seeking a quantitative analyst to develop and maintain counterparty credit risk models and covariance matrices, supporting Basel-related capital calculations and regulatory measures. You will calibrate simulation models, perform impact analysis on EPE/PFE/CVA, and contribute to production releases while interfacing with business teams and regulators.

The role requires 2+ years in finance, strong mathematical and programming skills, and a proactive, detail-oriented