Citi Poland

Model Analysis and Validation Analyst

Citi PolandO firmie

  • Warszawa, mazowieckie

  • Ważna jeszcze miesiąc
    do: 10 maj 2020
  • Umowa o pracę
  • Pełny etat
  • Specjalista





If you want to understand how business operates globally, Citi Service Center is a perfect place for you.

Citi Service Center Poland was launched in 2005 as a part of an initiative to establish a network of service centers providing shared services to other entities operating within the Citigroup around the world. Currently we provide services to over 90 countries on 6 continents. Thus we’re creating a unique opportunity to work in an international environment, with our employees using 29 languages every day.

We recognize and develop talents and invest in people who are ready for challenges. Our primary objective is innovation. We are following trends and combining development opportunities for our employees with the use of new technologies, for instance the mobile access to knowledge portals and other online resources (e.g. from MIT or Harvard).

About Quantitative Risk and Stress Testing    
The Quantitative Risk and Stress Testing (QRS) group’s mandate is to develop, maintain, and enhance credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; and to support Basel, internal and external stress testing, and loan loss reserve processes. Additionally, the group reviews and approves credit risk rating processes and analyses rating performance across Citi’s portfolios. QRS comprises more than 250 quantitative risk analysts and other professionals located in nine cities and six countries, and is responsible for over 200 risk models used within Citi.

QRS has openings for Officers and Assistant Vice Presidents (depending on experience).
Model Analysis and Validation Analyst
Location: Warszawa
91957

Responsibilities:

  • Develop, maintain, and enhance models for credit risk, market risk, and/or counterparty credit, including risk capital and/or stress testing
  • Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data
  • Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls
  • Support various tasks in response to regulatory and internal risk management requirements

Qualifications:

  • Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, etc.) is required. Master or higher degrees are advantageous, as is exceptional academic record (rewards, recognition, etc.)
  • Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required
  • Experience of one or more of the following topics is advantageous but not essential: derivative pricing, risk management practices, numerical methods including Monte Carlo simulation, statistical hypothesis testing, banking- or trading-book products, credit risk modelling, market risk modelling, counterparty risk modelling, risk capital modelling, stress testing
  • Fluent English

Skills:

  • Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required. Specific experience in SAS, Python, R, C/C++, UNIX, databases, and version control systems is particularly advantageous
  • Ability to develop exceptional writing skills (in English), with pre-existing ability to synthesise complex technical information and explain it clearly, is required
  • Strong written and verbal communication skills, with ability to synthesise complex technical information and explain it clearly, is required
  • For more senior applicants, actual industry experience in developing and maintaining detailed technical documentation for models, model validation, projects plans and processes, is advantageous

Personal traits:

  • Highly motivated, with ability to work both independently and collaboratively
  • Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines
  • Giving careful attention to detail, with capability to deliver high quality results
  • Potential to build trusted relationships confidently at all levels

What’s on offer?    

The successful candidate will have the opportunity to work on a wide range of cutting-edge analytical problems, relevant for senior management decision making (CRO, CFO, Board) and regulatory management. He or she will interact with highly-experienced quantitative analyst and risk management professionals across multiple risk stripes and geographies, and in so doing gain an expansive view of the firm and its business lines. This is an opportunity to grow within a high-quality team quantitative analysts in a challenging area of the financial industry working for one of the world’s leading companies.


Please be informed that we will contact selected candidates only.

Citi is registered trademark of Citigroup Inc., used under license. Citigroup Inc. and its subsidiaries are also entitled to rights to certain other trademarks contained herein.

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About Quantitative Risk and Stress Testing    
The Quantitative Risk and Stress Testing (QRS) group’s mandate is to develop, maintain, and enhance credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; and to support Basel, internal and external stress testing, and loan loss reserve processes. Additionally, the group reviews and approves credit risk rating processes and analyses rating performance across Citi’s portfolios. QRS comprises more than 250 quantitative risk analysts and other professionals located in nine cities and six countries, and is responsible for over 200 risk models used within Citi.

QRS has openings for Officers and Assistant Vice Presidents (depending on experience).
Model Analysis and Validation AnalystNumer ref.: 91957

Responsibilities:

  • Develop, maintain, and enhance models for credit risk, market risk, and/or counterparty credit, including risk capital and/or stress testing
  • Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data
  • Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls
  • Support various tasks in response to regulatory and internal risk management requirements

Qualifications:

  • Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, etc.) is required. Master or higher degrees are advantageous, as is exceptional academic record (rewards, recognition, etc.)
  • Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required
  • Experience of one or more of the following topics is advantageous but not essential: derivative pricing, risk management practices, numerical methods including Monte Carlo simulation, statistical hypothesis testing, banking- or trading-book products, credit risk modelling, market risk modelling, counterparty risk modelling, risk capital modelling, stress testing
  • Fluent English

Skills:

  • Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required. Specific experience in SAS, Python, R, C/C++, UNIX, databases, and version control systems is particularly advantageous
  • Ability to develop exceptional writing skills (in English), with pre-existing ability to synthesise complex technical information and explain it clearly, is required
  • Strong written and verbal communication skills, with ability to synthesise complex technical information and explain it clearly, is required
  • For more senior applicants, actual industry experience in developing and maintaining detailed technical documentation for models, model validation, projects plans and processes, is advantageous

Personal traits:

  • Highly motivated, with ability to work both independently and collaboratively
  • Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines
  • Giving careful attention to detail, with capability to deliver high quality results
  • Potential to build trusted relationships confidently at all levels

What’s on offer?    

The successful candidate will have the opportunity to work on a wide range of cutting-edge analytical problems, relevant for senior management decision making (CRO, CFO, Board) and regulatory management. He or she will interact with highly-experienced quantitative analyst and risk management professionals across multiple risk stripes and geographies, and in so doing gain an expansive view of the firm and its business lines. This is an opportunity to grow within a high-quality team quantitative analysts in a challenging area of the financial industry working for one of the world’s leading companies.

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