Quantitative Risk Analyst - Vice President

Discover your future at Citi

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Job Overview

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills and experience of a Master's or PhD degree in a quantitative field (Mathematics, Statistics, Finance) with good quantitative knowledge gain within the financial industry to Citi’s DART team.

By Joining Citi, you will become part of a global organization whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team / Role Overview: 

The Risk Data, Analytics, Reporting & Technology (DART) is Citi's leading risk modelling and data analytics team. We leverage mathematical modelling and the latest technologies to calculate risk for Citi's largest portfolios. We use visualizations and dashboards to effectively communicate risk to senior stakeholders. Our models and analytics ensure that the bank maintains adequate capital during crises.

The Counterparty Credit Risk Model Production team within DART is seeking a Quantitative Risk Analyst – Vice President to join the team in Warsaw, Poland. We’re expanding capabilities of the Team, to strengthen the standards of Credit Exposure Factor (CEF) calculations and controls. CEF is a quantitative measure and a critical element of a live-trade analysis that Risk Analytics team provide to Trading, Structuring, Sales and Credit Risk Managers to determine the level of initial margin and to understand the impact on counterparty credit exposure at a single trade level.

What you’ll do:

• Providing risk analysis of vanilla and exotic OTC derivative investment and hedging products linked to wide range of asset classes (Equities, FX, Commodities, Rates, Credit, Cross Asset), traded by Citi globally.
• Challenging the choices of CEF (credit exposure factor) methodologies and tools, checking the underlying assumptions, verifying the CEF calculation flow and communicating findings to teams located across the globe (i.e. London, NYC, Shanghai)
• Assisting the team lead to develop, implement, and maintain standards and procedures for exposure calculation, validation, and monitoring by clearly documenting and communicating the results to management and other stakeholders.
• Perform impact analysis of any changes in CEFs as well as other model parameters with reference to internal risk management and regulatory measures of counterparty credit risk (EPE, PFE, CVA).
• Implementing automation solutions to streamline day-to-day tasks and ensure robustness of existing and new processes.
• Providing suggestions to the relevant model development teams on counterparty exposure methodology enhancements and system flow improvements.
• Assisting the team lead to train and educate junior team members.

What we’ll need from you:

• Master's or PhD degree in a quantitative field (Mathematics, Statistics, Finance) with 4+ years of experience as a quant in the financial industry.
• Passionate interest in finance with strong knowledge of regulatory measures of counterparty credit risk and regulatory models.
• Programming skills, with experience in statistical/data analysis techniques and numerical implementations, and some familiarity with modern software development tools, are required.
• Excellent mathematical skills.
• Comfortable interfacing with business clients.
• Proficiency in handling very large datasets.
• Intellectual curiosity to stay abreast of technological advances.
• Consistently demonstrates clear and concise written and verbal communication skills.
• Self-motivated and detail-oriented.
• Demonstrated project management and organizational skills, and the capability to handle multiple projects simultaneously.

What we can offer you:

• Gain in-depth knowledge of all counterparty credit risk models and all trading book products, offering significant business and personal development opportunities.
• Acquire extensive product/structure knowledge across all asset classes.
• Develop a deep understanding of industry regulatory requirements from a high-level perspective.
• Opportunity to interact with all businesses across Citi.

By joining Citi Solutions Centre Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee’s pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer
• Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company’s Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit – a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees.

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

#LI-TM3

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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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