Quantitative Risk Analyst

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

Benefits offered by this job

Pension plan

Private medical care

Life Insurance

Parental leave

Sport card

Holidays allowance

Flex benefits

Annual incentive

Job summary

Citi Solutions Center Poland in Warsaw is seeking a Counterparty Risk Analytics Associate to develop, validate, and maintain data quality methods for counterparty risk models used in Basel/ICAAP calculations and risk reporting.

You will perform statistical analysis, data mining, automation of data prep, requiring SQL, Python, Excel, and strong communication; hybrid work up to 2 days from home. Collaboration with risk/tech is essential.

Qualifications

• Up to 3 years of experience in statistical data analysis or quantitative risk analysis.
• Experience in Market Risk or Counterparty Credit Risk preferred.
• Basic knowledge about properties and pricing of traded financial instruments and their derivatives.
• Proficient in Microsoft Excel.
• Statistical analysis and programming experience (SQL and Python preferred).
• Clear and concise written and verbal communication skills.
• Self-motivated and detail oriented.
• Demonstrated project management and organizational skills.

Responsibilities

• Develops, enhances, and validates methods for measuring and analyzing data quality of historic market data used to calibrate counterparty credit risk models.
• Conducts statistical analysis for risk related projects and data modeling/validation.
• Prepares statistical and non-statistical data exploration, validates data, identifies data quality issues.
• Automates data extraction and preprocessing tasks, performs ad hoc analyses, and designs complex data manipulation processes.

Skills

Statistical data analysis

Time Series Analysis

Communication skills

Project management

Detail oriented

Education

Master's degree in quantitative field

Tools

SQL

Python

Excel

Job description

The Counterparty Risk Analytics (CRA) team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE/EPE). Additionally, the team provides live-deal analysis to business and risk management by calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk and ensures models and data logic is implemented correctly in credit risk systems.

What you will do:

• Develops, enhances, and validates the methods of measuring and analyzing data quality of historic market data which is used for calibration of counterparty credit risk simulation models. This includes defining market data sources, collecting data, validating data, and developing data cleansing and enhancing logic based on quantitative methods. The work will mainly consist of historical time-series collection, analysis, develop and enhance the methodology for data spike/staleness/outlier detection, validity checking, and data cleaning with data issues remediation. Once potential data exceptions are detected, validate if they are true data quality issues through alternative sources (other data providers, or internal trading business risk managers, etc). Based on findings, take appropriate actions for these “exceptions”.
• Conducts statistical analysis for risk related projects and data modeling/validation.
• Prepares statistical and non-statistical data exploration, validate data, identify data quality issues.
• Conducts data analysis, data mining, read and create formal statistical documentation, reports and work with Technology to address issues.
• Analyzes and interprets data reports, make recommendations addressing business needs.
• Uses Predictive modeling methods, optimizing monitoring systems, document optimization solutions, and present results to non-technical audiences; write formal documentation using statistical vocabulary.
• Automates data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes, and provide documentation and presentations.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

What we will need from you:

• Up to 3 years of experience in statistical data analysis or quantitative risk analysis in financial service industry, in case of no full-time position experience at least internship in one of considered areas is required
• Experience in Market Risk, Counterparty Credit Risk, Derivatives Pricing or Time Series Analysis is preferred
• At least basic knowledge about properties and pricing of traded financial instruments and their derivatives
• Proficient in Microsoft Office with an emphasis on MS Excel
• Statistical analysis and programing experience (SQL and Python are preferred)
• Consistently demonstrates clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time
• Master or higher degree preferred, with an excellent academic record in a quantitative field (e.g. mathematics, statistics, econometrics, computer science, physics, etc.).

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

Copy and paste the URL below into a new tab on your web browser to view the Remuneration Regulations extract: https://tbcdn.talentbrew.com/company/287/cms/v3/docs/policies/RemunerationRegulations-KeyProvisions-CitibankEurope_plc_05012025_A.pdf

If you have any questions or would like to discuss this opportunity further, please don't hesitate to reach out to Karola Sulińska at [e-mail].

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Job Family Group: Risk Management

Job Family: Model Development and Analytics

Time Type: Full time

Primary Location Full Time Salary Range: zł165,020.00 - zł280,980.00

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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