Quantitative Risk Modeler IFRS9 & Credit Risk

Citi; Warszawa; On-site; PLN 242,000 - 412,000; Full time

Benefits offered by this job

Group health insurance

Private medical care

Life insurance

Pension plan 6%

Volunteer day

Cafeteria/flex benefits

Job summary

Citi in Warsaw's DART team seeks a quantitative risk professional to advance IFRS9 credit loss models and stress testing. You will build models and analytical applications, and present results to risk managers and senior leadership.

The role focuses on applying advanced mathematical techniques, coding in Python, and collaborating with risk, finance, and validation teams to strengthen capital adequacy and risk governance.

Qualifications

• Master's degree in a quantitative field is required.
• 3+ years of experience in quantitative financial modeling.
• Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems.
• Knowledge of wholesale credit products and financial markets preferred.
• Excellent communication skills, verbal as well as written.

Responsibilities

• Research, develop, and test wholesale expected credit loss models in line with IFRS9 standard and country-specific regulatory requirements, credit loss models used for regulatory stress testing including ICAAP, EBA and others as well as internal 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.
• Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
• Support business, finance, risk managers, foundational credit risk, model validation, internal audit, and banking supervisors for loss models related discussions.
• Synthesize and communicate complex risk models and results.
• Conduct statistical analysis, quantitative modeling, and model risk controls.

Skills

Python

Data analysis

Statistical modeling

Communication skills

Linux

Education

Master's degree in quantitative field

Tools

Linux

Job description

Citi in Warsaw's DART team seeks a quantitative risk professional to advance IFRS9 credit loss models and stress testing. You will build models and analytical applications, and present results to risk managers and senior leadership.

The role focuses on applying advanced mathematical techniques, coding in Python, and collaborating with risk, finance, and validation teams to strengthen capital adequacy and risk governance.