Counterparty Risk Modeling Analyst

Citi; Województwo mazowieckie; Hybrid; PLN 165,000 - 281,000; Full time

Benefits offered by this job

PPE Program

Private Medical Care

Life Insurance

Employee Assistance

Parental Leave

Sport Card

Holidays Allowance

Flex Benefits

Annual Incentive

Employee Discounts

Volunteer Day

Team Building

Job summary

Citi Solutions Center Poland is seeking a Quantitative Analyst/Risk Analyst to develop and maintain models for counterparty credit risk and to calibrate covariance matrices. The role supports regulatory capital calculations and risk management with live-deal analysis and stress testing.

The position offers a hybrid work model (up to 2 days at home per week) and a competitive base salary with extensive benefits as part of Citi's policy for eligible employees in Poland.

Qualifications

• 2+ years of experience as a quantitative analyst or risk analyst in finance.
• Solid programming skills and familiarity with software development tools.

Responsibilities

• Develop, maintain and enhance models for counterparty credit risk and calibration of covariance matrices.
• Calibrate and maintain simulation models for counterparty credit risk.
• Contribute to production and UAT releases of covariance matrices.
• Perform impact analysis of covariance changes on internal risk management and regulatory measures.
• Develop methodologies, algorithms and tools for testing model robustness and data quality.

Skills

Quantitative analysis

Statistical techniques

Risk management

Data handling

Programming

Education

Master's degree in quantitative field

Tools

MS Excel

Job description

Citi Solutions Center Poland is seeking a Quantitative Analyst/Risk Analyst to develop and maintain models for counterparty credit risk and to calibrate covariance matrices. The role supports regulatory capital calculations and risk management with live-deal analysis and stress testing.

The position offers a hybrid work model (up to 2 days at home per week) and a competitive base salary with extensive benefits as part of Citi's policy for eligible employees in Poland.