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Citi & Citi Handlowy
Citi & Citi Handlowy
location iconLocations: Warszawa
level iconLevel: specialist
Citi is more than a global financial services company. It's an engine for progress. We serve 200 million customers in more than 160 countries, providing support to individual, corporate, government and institutional clients. Our clients choose us for a global footprint, market positon, in-country relationships and the full range of solutions on offer. In Poland we operate within two legal entities Citibank Europe plc and Bank Handlowy w Warszawie S.A.
Quant risk analyst
Work place: Warszawa

The Quantitative Risk and Stress Testing (QRS) group’s objective is to provide analytics and analyses to colleagues within Risk as well as our partners across Citi. Within the QRS, the Counterparty Risk Analytics 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.

Key Responsibilities:

  • 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

Development Value:

  • 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


  • Experience: 3+ years experience as a quant in the financial industry
  • Qualifications: MSc/PhD in a quantitative field;
  • Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;
  • Skills: Implementation work will require strong knowledge of programming in Python, C++ or other appropriate language
  • Competencies: Excellent communication skills, both oral & written; ability to organize time, work to a plan, and finish all tasks accurately and on time; strong motivation and desire to learn; team working.
Please be informed that we will contact selected candidates only.

Citi and Citi Handlowy are registered trademark of Citigroup Inc., used under license. Citigroup Inc. and its subsidiaries are also entitled to rights to certain other trademarks contained herein.
Bank Handlowy w Waszawie S.A
Citibank Europe PLC

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Recruitment process for this position has ended.

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  • iconAnalytics & Reporting
  • iconWarszawa, mazowieckie

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