Risk Capital Model Developer — Quantitative Analyst

Citi

Warszawa

Hybrid

PLN 165,020 - 411,650

Full time

14 days+

Get more replies from employers

Send a job-specific resume in minutes.

Benefits offered by this job

Private Medical Care

Life Insurance

Pension Plan

Annual discretionary incentive

Volunteer day

Job summary

Citi is seeking a Risk Capital Model Developer to advance quantitative risk modelling within the Risk Management division. You will design, implement, and monitor sophisticated capital models across wholesale and counterparty risk, collaborating with stakeholders across Risk, Technology, and Finance.

The role requires strong Python/C/C++ skills, a Master’s/PhD in a quantitative field, and experience with regulatory capital expectations.

Qualifications

2+ years of experience in quantitative risk modelling, analytics, or finance within a large financial institution or equivalent environment.
Strong hands-on IT skills (Python, C/C++, and other quantitative analytics software).
Advanced understanding of quantitative methods including statistical modelling, stochastic processes, numerical methods, and large-scale simulation frameworks.

Responsibilities

Contribute to the design, development, enhancement, and maintenance of Risk Capital models across wholesale credit risk, counterparty credit risk, market risk, and concentration risk frameworks.
Participate in the full model lifecycle for Risk Capital models, including methodology design, development, implementation, performance monitoring, and ongoing enhancement.
Apply advanced quantitative methodologies, including Monte Carlo simulation-based frameworks, correlation and dependency modelling, loss and recovery modelling, capital allocation methodologies, and stress loss estimation.