Wholesale Credit Reserves & Loss Modelling - Quantitative Analyst

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

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.

As a successful Candidate you will be a part of IFRS9 and ICAAP modelling team, part of Loss Forecasting Analytics Group, which is responsible for statistical models used in reserves calculation (IFRS9 or CECL) and stress testing (ICAAP, CCAR and others). The role offers a huge development opportunity and exposition to local and global initiatives.

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.

By joining Citi Solutions Center Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• 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.

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