Wholesale Credit Loss Modelling - Quantitative Analyst

Citi; Województwo mazowieckie; Hybrid; PLN 242,000 - 412,000; Full time

Benefits offered by this job

Defined contribution pension

Private medical care

Life insurance

Parental leave program

Sport card

Social Benefit Fund

Volunteer day

Cafeteria benefits

Annual incentive

Employee discounts

Job summary

Citi is recruiting for a senior risk modelling role in Poland within the IFRS9 and ICAAP modelling team. You will build, test, and implement loss models and analytical tools in Python, collaborating with risk managers and senior stakeholders across global initiatives.

The position offers hybrid work (up to 2 days at home weekly) and a comprehensive benefits package including pension, private medical care, life insurance, and family-friendly programs.

Qualifications

• Master's degree from 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 is preferred.
• Familiar with statistics packages and regression models.
• Strong programming skills in Python; Linux knowledge is a plus.
• Excellent communication skills, verbal and 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 programming

Analytical thinking

Communication skills

Education

Master's degree (quantitative)

Job description

Citi is recruiting for a senior risk modelling role in Poland within the IFRS9 and ICAAP modelling team. You will build, test, and implement loss models and analytical tools in Python, collaborating with risk managers and senior stakeholders across global initiatives.

The position offers hybrid work (up to 2 days at home weekly) and a comprehensive benefits package including pension, private medical care, life insurance, and family-friendly programs.