Quantitative Risk Analyst — IFRS9/ICAAP Modeling (Python)

Citigroup Inc.; Warszawa; Hybrid; PLN 242,000 - 412,000; Full time

Benefits offered by this job

Defined Contribution Pension Plan

Private Medical Care

Life Insurance

Employee Assistance Program

Sport Card

Social Benefit Fund

Holidays Allowance

Cafeteria / flex benefits

Annual discretionary incentive

Discounts for employees

Volunteer day

Job summary

Citigroup Inc. in Poland seeks a quantitative risk modeller to join the IFRS9 and ICAAP modelling team. You will develop and test wholesale credit loss models, implement analytical functions in the internal Python library, and prepare detailed analyses for risk managers and senior leadership.

The role offers exposure to local and global initiatives, a hybrid work model (up to 2 days home per week), and a competitive base salary with a broad benefits package.

Qualifications

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

Responsibilities

• Research, develop, and test wholesale expected credit loss models in line with IFRS9 standard and country-specific regulatory requirements, including ICAAP and EBA stress testing.
• Implement loss models and analytical functions in the internal Python library.
• Prepare detailed quantitative modeling and analysis for risk managers and senior management.
• Analyze and interpret results, incorporating feedback into models and metrics.
• Support business, finance, risk managers, model validation, internal audit, and supervisors for loss model discussions.
• Synthesize and communicate complex risk models and results.
• Conduct statistical analysis, quantitative modeling, and model risk controls.

Skills

Python

Quantitative analysis

Statistical modeling

Communication skills

Education

Master's degree in quantitative field

Tools

Linux

Job description

Citigroup Inc. in Poland seeks a quantitative risk modeller to join the IFRS9 and ICAAP modelling team. You will develop and test wholesale credit loss models, implement analytical functions in the internal Python library, and prepare detailed analyses for risk managers and senior leadership.

The role offers exposure to local and global initiatives, a hybrid work model (up to 2 days home per week), and a competitive base salary with a broad benefits package.