The Role
DART (The Risk Data, Analytics, Reporting & Technology team) 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.
Counterparty Credit Risk Modelling team within DART is looking to add an SVP model developer to join CCR model development team in Warsaw, Poland. The team is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures for derivatives products. These models are used for advanced Basel regulatory capital calculations and internal risk management measures. The role’s focal point will be to support the further development of Citi’s counterparty risk analytics framework.
What you will be doing
- Contribute to counterparty credit risk model development
- Perform rigorous model testing, including back-testing and other testing involved in the model development process
- Conduct statistical analysis on large volume of financial data
- Prepare model documentations and coordinate with risk IT technology to test implementation of counterparty credit risk models
- Build-up of local expertise in counterparty credit risk models and relationships with internal risk management and other functions
- Support for regulatory capital model approvals and related risk management processes
- In-depth knowledge for all counterparty credit risk models and all trading book products will provide significant business and personal development opportunities
- Gain extensive product/structure knowledge of all asset classes
- Gain deep understand on a high-level view of industry regulatory requirements
- Interaction with all businesses across Citi
What we need from you
- 7+ years of experience with Quant ideally within the financial industry
- Excellent mathematical skills, sound knowledge of statistical modelling concepts, stochastic calculus, linear algebra and industry best practices
- Experience in counterparty credit risk modelling is advantageous
- Solid programming skills in Python. C++ is preferred
- Ability to deliver compelling presentations and influence executive audiences
- Excellent communication stills, ability to engage and inspire team forward
- Ability to drive innovation via thought leadership while maintaining end-to-end view
- Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators
- Intellectual curiosity to stay abreast of technological advances
What we offer
By joining Citi Solutions Centre Poland, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits such as:
- Private Medical Care Program
- Life Insurance Program
- Pension Plan contribution (PPE Program)
- Employee Assistance Program
- Paid Parental Leave Program (maternity and paternity leave)
- Sports Card
- Holidays Allowance
- Sport and team recreation activities
- Exclusive offers and discounts for employees
- Access to an array of learning and development resources
- A discretional annual performance related bonus
- A chance to make a difference with various affinity networks and charity initiatives
#LI-RG6
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Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
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