The Counterparty Risk Analytics group is responsible for developing and maintaining the methodologies to calculate counterparty credit risk exposures of OTC derivatives, Exchanged-Traded derivatives, and Security Financing Transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures.
The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counterparty risk. They support to ensure that models and data logics are implemented correctly in credit risk systems.
The team in Warsaw covers both model development and data management.
Key responsibilities include:
- This role serves as the site manager for the Counterparty Risk Analytics Warsaw team, which consists of 14 FTEs in the areas of model development, infrastructure support, and data controls. Responsible for hiring and training employees in the area of data analysis and control.
- Manage historical market factor time-series across all products and all regions related to counterparty risk IMM (Internal Model Methodology) models. This includes defining market data sources, collecting data, validating data, and developing data cleansing logics
- Report major data quality issues to IMM Data Governance Committee and follow up with the recommended actions
- Ensure that cleaned market factor data can meet regulatory requirements and can be used as the inputs for Citi’s Basel IMM models
- As part of the Infrastructure Support team, work with the global team on IMM model parameter calibration updates, other data process improvements, and new capital optimization initiatives
- Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, etc.). Master or higher degree is strongly preferred.
- 5+ years of relevant working experience in financial service industry.
- Good communication skill is required. Be organized, disciplined and detail oriented.
- Strong team management skills with 3+ year management experience.
- Good programming skill and data analysis capability are highly recommended, especially in C/C++, Python/Perl, shell scripts, VBA and basic database skills in either Oracle or Sybase.
- Experience of one or more of the following is an advantage but not essential: derivative pricing and exotic products; risk management practices and procedures; numerical methods; Monte Carlo simulations; statistical hypotheses testing.
- Keen interest in banking and finance, especially in the field of Risk Management.
- Opportunity to work in an international, multi-cultural environment
- Cooperation with a high quality team in a challenging area of the financial industry with one of the world's leading companies
- Access to the latest technologies and tools
- Opportunity to learn through participation in various projects and cross training
- Attractive conditions of employment and benefits
- High exposure coming from direct cooperation with senior management