The Credit and Obligor Risk Analytics (CORA) group within Citi Quantitative Risk and Stress Testing (QRS) is looking to add several experienced quantitative analysts at Vice President level to join the Credit Loss Modeling team in Warsaw, Poland. The team is responsible for development of the credit loss and stress-testing models for Citi's wholesale credit portfolios.

This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support the risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and lead all aspects of the model development life cycle, which includes interaction with Senior Risk, Finance, Model Validation, and Business Managers, Internal Auditors and Regulators:

Responsibilities:

• Research, develop, and maintain wholesale credit loss models used for regulatory stress testing including CCAR/DFAST/ICAAP/EBA and internal stress testing
• Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions
• Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
• Actively engage across all model development teams with CORA, including PD/LGD/EAD models, and CECL/IFRS9 models.

Qualifications:

• Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required. Master or higher degrees are advantageous.
• Other qualifications such as Financial Risk Manager (FRM), Chartered Financial Analysts (CFA), Certificate in Quantitative Finance (CQF), etc. are advantageous
• Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required
• 3+ years of experience in quantitative financial modeling. Wholesale credit risk experience is preferred.
• Good knowledge of bank stress testing in wholesale credit portfolios. Experience in CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 calculation is a plus.
• Familiar with statistics packages and regression models.
• Strong programming skills in Python, C++, R, or other objected oriented languages.
• Excellent communication skills, verbal as well as written. Fluency in speaking, reading, and writing English is required.

We offer:

• 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