Currently we're investigating a bug where the answers are not recorded properly. If you encounter this bug, please email us at rfqjobs@gmail.com.
Quantitative Risk Analyst (mulitiple positions)

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

(more about Citi)
This job posting has been archived.
Unfortunately Citi has archived this job posting, they are no longer accepting applications.

Quantitative Risk Analyst (mulitiple positions)

We are currently having multiple job openings in Warsaw within Risk Modeling & Analytics (RMA)and we are open for candidates with extensive experience as well as the ones that are taking their first steps in the quantitative finance filed. Roles within RMA provide an excellent opportunity for analysts with programming background as well as those who have good knowledge of financial derivative products.

About Risk Modeling & Analytics (RMA)

The Risk Modeling & Analytics (RMA) is a group within Citi’s Risk division responsible for developing credit, market, and counterparty risk analytics models. The RMA group applies best-in-class analytics and model development practices, and fostering an environment in which teamwork, technical expertise and creativity to solve problems are encouraged. It comprises of multiple teams in several locations: Warsaw, Dublin, Frankfurt, Shanghai, London, Irving, NYC and Tampa.

Responsibilities across various roles in RMA include:

  • Research, support, enhance and maintain market and counterparty risk models; design and develop in-house software for quantitative analysis.
  • Research, develop, and maintain wholesale credit loss models used for IFRS9 reporting, and regulatory stress testing, with focus on ICAAP, EBA and climate stress testing.
  • Analyze risk exposure for complex derivative products, assess the impact of collateral and hedging.
  • Work with existing risk models, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.
  • Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data.
  • Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the risk models and to support any related production processes.
  • Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.
  • Analyze and interpret data reports, making recommendations addressing business needs.
  • Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussion

Qualifications:

  • 0-10 year experience as a quantitative analyst or risk analyst, financial consultant, product controller, valuations analyst, etc.
  • Master or higher degree in quantitative field (e.g. finance, mathematics, physics, statistics, etc.) is strongly preferred.
  • Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required.
  • Working knowledge of at least one of following languages: Python, R, C/C++, JAVA, VBA, MATLAB
  • Any other programming languages is a plus.
  • Knowledge of statistical/data analysis techniques and numerical implementations.
  • Understanding of financial derivative products, associated risk measures and market conventions or strong interest in learning such concepts is a plus.
  • Good knowledge of bank stress testing in wholesale credit portfolios.  Experience in IFRS9 methodology, CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 calculation is a plus.
  • Clear and concise written and verbal communication skills.
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time

We Offer:

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls
  • Cooperation with a high quality, international, multicultural and global team
  • Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success
  • Management supporting balanced and agile work (flexible working hours, home office)
  • Attractive benefits package (Benefit System, medical care, pension plan etc.)
  • Opportunity for participation in managerial development initiatives
  • A chance to make a difference with various affinity networks and charity initiatives

-------------------------------------------------

Job Family Group:

Risk Management

-------------------------------------------------

Job Family:

Risk Analytics, Modeling, and Validation

------------------------------------------------------

Time Type:

Full time

------------------------------------------------------

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

Other jobs at Citi: