Hybrid Quantitative Risk Capital Model Developer

Citigroup Inc.; Warszawa; Hybrid; PLN 200,000 - 340,000; Full time

Benefits offered by this job

Pension plan contribution

Private medical care

Life insurance

Employee assistance program

Sport card

Volunteer day off

Flex benefits

Job summary

Citi Solutions Center Poland is seeking a Risk Capital Modelling professional to contribute to the strategic direction of risk capital modelling within Risk Management and Citi. You will develop hands-on models across wholesale, counterparty, market, and concentration risk, applying advanced quantitative methods and collaborating with stakeholders across the firm.

You will participate in model testing, documentation, and regulatory alignment, interfacing with validation, internal audit, and risk

Qualifications

• 2+ years of experience in quantitative risk modelling, analytics, or finance within a large financial institution.
• Strong hands-on IT skills with Python, C/C++, and other quantitative analytics software.
• Advanced understanding of quantitative methods including statistical modelling and large-scale simulations.

Responsibilities

• Design, develop, and maintain Risk Capital models across wholesale, counterparty, market, and concentration risk frameworks.
• Lead full model lifecycle: methodology design, development, validation, monitoring, and enhancement.
• Apply Monte Carlo and other advanced techniques for loss, tail risk, and capital allocation assessments.

Skills

Python

C/C++

Quantitative analytics software

Risk Capital frameworks

Communication

Education

Master's or PhD in Mathematics/Statistics/Finance/Physics/Engineering or related quantitative discipline

Job description

Citi Solutions Center Poland is seeking a Risk Capital Modelling professional to contribute to the strategic direction of risk capital modelling within Risk Management and Citi. You will develop hands-on models across wholesale, counterparty, market, and concentration risk, applying advanced quantitative methods and collaborating with stakeholders across the firm.

You will participate in model testing, documentation, and regulatory alignment, interfacing with validation, internal audit, and risk