Counterparty Risk Model Analyst — Hybrid

Citi; New York (NY); Hybrid; USD 42,000 - 72,000; Full time

Benefits offered by this job

Defined Contribution Pension Plan 6%

Private Medical Care Package

Life Insurance Program

Employee Assistance Program

Sport Card for employees

Additional benefits from Social Fund

Annual discretionary incentive

Volunteering day off

Flex cafeteria

Job summary

Citi Solutions Center Poland is seeking a Counterparty Credit Risk Model Analyst to join the CRA team in a hybrid work setup. You will develop, calibrate and maintain models for counterparty credit risk across derivatives, securities financing and margining, delivering robust analytics for risk management and regulators.

The role requires 2+ years in quantitative research or risk analysis, strong maths and programming skills, and a master's or higher in a quantitative field.

Qualifications

• 2+ years of experience as a quantitative or risk analyst in finance.
• Strong programming and data analysis skills with knowledge of statistical methods.
• Excellent mathematics skills including stochastic calculus and statistics.
• Familiarity with regulatory measures of counterparty risk and risk models.
• Ability to interface with business clients and handle large data sets.
• Proficiency with Microsoft Office, especially Excel.
• Clear written and verbal communication; detail-oriented.
• Master or higher degree in a quantitative field preferred.

Responsibilities

• Develop, maintain and calibrate counterparty credit risk models.
• Calibrate simulation models for counterparty risk.
• Contribute to production and UAT releases of covariance matrices.
• Analyze impacts of covariance changes on risk management and regulation.
• Develop algorithms and tools for model testing and quality control.
• Maintain technical documentation and project artifacts.
• Support regulatory and internal risk management tasks.
• Prepare reports and quantitative analyses for senior management.

Skills

Analytical Thinking

Credible Challenge

Data Analysis

Governance

Policy

Procedure

Regulation

Risk Management Lifecycle

Education

Master's degree in a quantitative field

Tools

MS Excel

Job description

Citi Solutions Center Poland is seeking a Counterparty Credit Risk Model Analyst to join the CRA team in a hybrid work setup. You will develop, calibrate and maintain models for counterparty credit risk across derivatives, securities financing and margining, delivering robust analytics for risk management and regulators.

The role requires 2+ years in quantitative research or risk analysis, strong maths and programming skills, and a master's or higher in a quantitative field.