Market Risk Senior Analyst

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Job Overview

This position provides an excellent opportunity for a quantitative risk analyst with a background in market risk to work within Citi’s Legal Entities in Warsaw. In this role, the successful candidate will be responsible for critical deliverables involving complex market risk models related to the bank’s Basel 2.5 implementation in line with Citi's internal and regulatory standards.

Currently, the Market Risk Analytics group is involved in many advanced and exciting modelling activities. Therefore, for someone with the right competency, keen interest, high degree of motivation and energy, the role offers an excellent opportunity to be at the center of market risk model methodology developments. This role creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank.

What you’ll do:

• The role requires knowledge of the current Basel 2.5 modelling. This includes for example VaR, SVaR, Risk-not-in-VaR, IRC.

• Develop methodology for quantitative analysis required on various work streams for Basel 2.5 implementation within the bank.

• Provide robust, controlled, reusable, and scalable analytics capabilities to address specific Legal Entities requirements (VaR breach analysis, Backtesting, ad-hoc analyses requested by other teams).

• Produce high quality documentation for models, interact with the model validation team.

• Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business needs require model enhancements.

• Interact confidently with other risk management teams, governance teams, the front office, technology and control groups to implement improvements to the market risk models and to support any related production processes.

• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

• Pro-actively develop deep knowledge of the forthcoming Market Risk regulations of the Fundamental Review of the Trading Book (FRTB) and its application in the legal entity.   

What we’ll need from you:

• Experience in Risk and knowledge of one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics.

• Experience in developing complex end-to-end models, including: identifying key steps, data analysis, ability to provide critical insights and original solutions.

• Expert level hands-on IT skills (for example: Python, C/C++, SQL, Excel, and other quantitative analytics software) are required.

• Excellent oral and written communication skills. Ability to communicate with people at all levels of seniority in the organization.

• Ability to listen and understand stakeholders’ needs and find effective/comprehensive solutions.

• Educated to postgraduate level (preferably MSc or PhD in financial, mathematical or similar quantitative field), with an excellent academic record.

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Primary Location Full Time Salary Range:

zł241,750.00 - zł411,650.00

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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.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

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This job opening is for an existing job vacancy.

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