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Assistant Vice President - Risk Analytics, Modeling, and Validation

Job Req ID 21260890 Primary Location Warsaw, Poland Job Category Risk Management
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Join our expanding Team in Warsaw and make your own progress in a supportive and friendly environment!

We are a people-oriented organization that appreciates and promotes personal and professional aspirations. Our corporate culture is empathic: we acknowledge life-work balance throughout your career path.

Assistant Vice President - Risk Analytics, Modeling, and Validation

Risk Capital is a firm-wide metric to measure economic capital usage at the consolidated Citigroup and CBNA levels as well at the detailed business unit level. It is reported to regulators and the Board as a key capital adequacy metric for Citigroup and its major legal entities (MLE) in various ICAAP exercises. Risk Capital is also used extensively in various risk areas to set risk limits and to assess the risk-adjusted profitability of large transactions. Risk Appetite Ratio (RAR) and Risk Appetite Surplus (RAS) are firm-wide metrics to measure risk-adjusted earnings power at the consolidated Citigroup and CBNA level as well at the detailed business unit level. Risk Capital and RAR/RAS metrics are both important quantitative measurements that form part of Citi's overall Risk Appetite Framework (RAF). With the regulatory focus on Risk Appetite Framework and Concentration Risk management, Risk Capital based limits and RAR/RAS are expected to become a critical part of Citi’s internal risk management framework.

In this position you will use and expand your experience and professional skills for the following responsibilities:

  • Developing or enhancing Risk Capital/Stress Testing models for counterparty and wholesale credit risk
  • Develop model to measure counterparty default loss for derivative/SFT/CCP transactions, assess Wrong Way Risk, concentration risk, develop model for default correlation, securitization exposure, PD/LGD, etc.
  • Implement model analytics, model libraries/engine/executables and associated analytical tools, using programming languages such as C++, Python, VBA
  • Test model performance, implement testing suites for new and existing models, establish automated testing processes and repeated model documentation processes
  • Assist testing efforts and support requirements from Model Risk Management, participate in full model development, validation and ongoing performance monitoring cycles
  • Partner with Finance and Risk Infrastructure (FRI) and IT to ensure that Risk Capital and Risk Appetite analytics enhancements are correctly implemented and integrated in Citi’s Risk and Finance systems

The ideal candidate for this position preferably possesses the following qualifications and skills:

  • Masters and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, computer science
  • 2+ years of experience in an analytics/model development or quantitative programming/implementation roles in a financial institution
  • Knowledgeable about risk measurement issues in market risk and/or counterparty/wholesale credit risk.
  • Knowledge of risk capital and stress testing concepts and issues a plus.
  • Strong communicator, self-starter, and team leader
  • Eagerness & ability to grasp complex analytical or mathematical concepts quickly
  • Proficient in C++/C, Python, Excel VBA, Java and/or other programming languages
  • Experience with model implementation and integration with technology systems
  • Ability to navigate through complex data and infrastructure environment a plus
  • Experience with implementing analytical user tools such as what-if calculator in Excel or other UI (e.g. dashboard) form a plus
  • Experience with database, cloud computing, client-server computing, distributed computing a plus
  • Exceptional candidates who do not meet all these criteria may be considered for the role provided they have the necessary skills and experience


  • flexible work arrangements in an organization that acknowledges life - work balance
  • career management and mentoring by senior colleagues and leaders
  • high visibility with exposure to senior regional and global business and functional leadership
  • opportunity for participation in managerial development initiatives
  • inclusive and friendly corporate culture where gender diversity and equality is widely recognized
  • a socially active team and communities with diverse networking opportunities
  • a supportive workplace for professionals returning to the office from childcare leave
  • competitive compensation package

Your journey and flexible career at Citi begins here – apply now


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.

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View the EEO Policy Statement.

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