Quantitative Counterparty Risk Modeler

Citibank (Switzerland) AG; Warszawa; Hybrid; PLN 180,000 - 250,000; Full time

Benefits offered by this job

Pension plan

Private medical care

Life Insurance

Employee Assistance

Sport card

Volunteering day

Cafeteria benefit

Job summary

Citi Solutions Center Poland in Warsaw is seeking a Counterparty Credit Risk Model Analyst to develop and maintain models for counterparty credit risk, calibrate simulations and support regulatory reporting.

You will present quantitative analyses to senior management, collaborate with risk and business teams, and contribute to model validation and documentation in a hybrid work setup.

Qualifications

• 2+ years as a quantitative or risk analyst in the financial industry.
• Strong mathematical background with stochastic calculus and statistics.
• Experience handling very large data sets and proficient in MS Excel.

Responsibilities

• Develop, maintain and enhance models for counterparty credit risk.
• Calibrate and maintain simulation models for CCR purposes.
• Prepare reports and detailed quantitative analyses for senior management and regulators.

Skills

Quantitative analysis

Statistical techniques

Programming

Stochastic calculus

Communication

Data handling

Education

Master's degree in quantitative field

Tools

Python

R

SQL

Excel

Job description

Citi Solutions Center Poland in Warsaw is seeking a Counterparty Credit Risk Model Analyst to develop and maintain models for counterparty credit risk, calibrate simulations and support regulatory reporting.

You will present quantitative analyses to senior management, collaborate with risk and business teams, and contribute to model validation and documentation in a hybrid work setup.