Quant Analyst - Wholesale Credit Risk & IFRS9 Modelling

Citigroup Inc.; Warszawa; Hybrid; PLN 240,000 - 420,000; Full time

Benefits offered by this job

Hybrid work model

Private medical care

Life Insurance

Pension plan

Sport card

Volunteering time off

Job summary

Citigroup Inc. in Warsaw is seeking a Wholesale Credit Reserves & Loss Modelling Quantitative Analyst to advance IFRS9/CECL modeling and loss forecasting. The role involves building models, implementing analytical functions in a Python-based library, and preparing detailed analyses for risk managers and senior management.

The successful candidate will contribute to ICAAP/CCAR stress testing and collaborate with risk, finance, and validation teams in a hybrid work environment in Warsaw.

Qualifications

• Master's degree in a quantitative field is required.
• 3+ years of experience in quantitative financial modeling.
• Experience with IFRS9/CECL and stress testing (ICAAP/CCAR) is a plus.
• Strong programming skills in Python and knowledge of Linux.

Responsibilities

• Research, develop, and test wholesale expected credit loss models in line with IFRS9 and regulatory requirements.
• Implement loss models and analytical functions in the internal Python library.
• Prepare detailed quantitative analyses for risk managers and senior management.
• Synthesize and communicate complex risk models and results to stakeholders.
• Support risk management and validation teams in model discussions.

Skills

Python programming

Statistical analysis

Communication skills

Regulatory modeling

Education

Master's degree in a quantitative field

Tools

Linux

Python

Job description

Citigroup Inc. in Warsaw is seeking a Wholesale Credit Reserves & Loss Modelling Quantitative Analyst to advance IFRS9/CECL modeling and loss forecasting. The role involves building models, implementing analytical functions in a Python-based library, and preparing detailed analyses for risk managers and senior management.

The successful candidate will contribute to ICAAP/CCAR stress testing and collaborate with risk, finance, and validation teams in a hybrid work environment in Warsaw.