Senior Quantitative Analyst - Risk Capital Model Development

Senior Quantitative Analyst - Risk Capital Model Development Location: Warsaw, Mazovia, Poland. Type: Hybrid. Job Overview Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your extensive skills and experience of quantitative risk modelling, analytics, or finance along with strong knowledge of Risk Capital frameworks to Citi’s Risk Data, Analytics, Reporting & Technology (DART) business within Risk Management. Responsibilities Contribute to the design, development, enhancement, and maintenance of Risk Capital models across wholesale credit risk, counterparty credit risk, market risk, and concentration risk frameworks. Participate in the full model lifecycle for Risk Capital models, including methodology design, development, implementation, performance monitoring, and ongoing enhancement. Apply advanced quantitative methodologies, including Monte Carlo simulation-based frameworks, correlation and dependency modelling, loss and recovery modelling, capital allocation methodologies, and stress loss estimation. Develop and implement models to appropriately measure and monitor default risk, loss severity, concentration risk, tail risk, and diversification effects across portfolios, legal entities, sectors, and regions. Perform model testing activities including benchmarking, back‑testing, sensitivity analysis, and ongoing performance monitoring to ensure robustness, stability, and regulatory compliance. Prepare high-quality model documentation in accordance with Citi Model Risk Management policies and governance standards. Interact with Independent Model Validation, Internal Audit, and regulators, including support for model reviews, regulatory exams, and remediation activities. Coordinate with Risk Technology and production teams to ensure accurate, timely, and well‑controlled implementation of Risk Capital models into production systems. Provide analysis on complex analytical issues, structure solutions, and drive effective resolution across Risk, Technology, Finance, and Business stakeholders. Qualifications Typically 5+ years of experience in quantitative risk modelling, analytics, or finance within a large financial institution or equivalent environment. Strong hands‑on IT skills (for example: Python, C/C++, and other quantitative analytics software) are required. Advanced understanding and hands‑on experience with quantitative methods including statistical modelling, stochastic processes, numerical methods, and large‑scale simulation frameworks. Strong knowledge of Risk Capital frameworks, including credit, counterparty, market, and concentration risk, and related regulatory capital expectations is an additional asset. Proven ability to communicate complex quantitative concepts clearly to non‑quantitative stakeholders. Master’s or PhD in Mathematics, Statistics, Finance, Physics, Engineering, or a related quantitative discipline strongly preferred. Benefits By joining Citi Solutions Center 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. 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. Equal Opportunity Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi. View Citi’s EEO Policy Statement and the Know Your Rights poster. #J-18808-Ljbffr Citi