Wholesale Credit Reserves & Loss Modelling - Quantitative Analyst

Citi; Warszawa; Presencial; PLN 242 000 - 412 000; Tempo integral

Vantagens oferecidas por esta oferta de emprego

Group health insurance

Private medical care

Life insurance

Pension plan 6%

Volunteer day

Cafeteria/flex benefits

Resumo da oferta

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.

Qualificações

• 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.

Responsabilidades

• 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.

Conhecimentos

Python

Data analysis

Statistical modeling

Communication skills

Linux

Formação académica

Master's degree in quantitative field

Ferramentas

Linux

Descrição da oferta de emprego

DART (The Risk Data, Analytics, Reporting & Technology) is the leading risk modelling and data analytics team in Citi. We use mathematical modelling and the latest technologies to calculate risk for the largest portfolios in Citi. We use visualizations and dashboards to communicate risk to senior stakeholders. Our models and analytics ensure that the bank has adequate capital during crisis.

We are a diverse group of professionals with backgrounds in physics, engineering, finance, economics, and data science. You will work alongside experienced colleagues to further develop your analytical and quantitative skills. Your responsibilities will include building models and analytical applications to tackle real-world challenges, paving the way for a career as a risk management expert and leader.

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.

Qualifications:

• Master's degree from a quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics, Finance, etc.) is required.
• 3+ years of experience in quantitative financial modeling. Hands‑on experience with the research, development, and implementation of financial models.
• Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems.
• Knowledge of wholesale credit products and financial markets at a financial institution is preferred.
• Good knowledge of credit reserves calculation in line with IFRS9/CECL, bank stress testing in line with ICAAP/CCAR or PD/LGD/EAD modeling is a plus.
• Familiar with statistics packages and regression models.
• Strong programming skills in Python. Good knowledge of Linux is a plus.
• Excellent communication skills, verbal as well as written.

Benefits:

• 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].

Job Family Group: Risk Management

Job Family: Model Development and Analytics

Time Type: Full time

Primary Location Full Time Salary Range: zł241,750.00 - zł411,650.00

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.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

View Citi’s EEO Policy Statement and the Know Your Rights poster.