Quantitative Analyst – Risk Models

Citi PolandO firmie

  • Warszawa, mazowieckie

  • Ogłoszenie wygasło 18 dni temu
  • Umowa o pracę
  • Pełny etat
  • Specjalista (Mid / Regular)
Citi is more than a global financial services company. It’s an engine for progress. Join us, and you’ll have the chance to get involved in progress in all its shapes and forms, right across the world. From the micro to the macro, from Australia to Zambia, the work we do has real positive impact. Wherever you are and whatever you do, progress starts here.
We’ve built a world famous, trusted brand over 200 years of continuously evolving financial services. And today, our influence continues to grow: with financial operations in 160 countries and 100 currencies. We have 200 million different clients, including some of the biggest names in the industries, sectors, businesses and governments that we serve every day. It all adds up to an exciting place to be for talented, ambitious people who want to build a truly remarkable career.
Quantitative Analyst – Risk ModelsNumer ref.: 96477
We are looking for a quantitative analyst with a strong analytical background to join our team in the Model Risk Management group.
The analyst will be responsible for a comprehensive assessment of models used within Citi and managing their risk. Our validations cover the technical assessment of conceptual soundness, mathematical formulation and model performance, as well as the functional assessment of using the model for regulatory and business applications. Model Risk Management group is currently looking for a person who will support the validation of risk models, including, but not limited to, market and counterparty credit risk, economic risk capital and margin models.

Job Responsibilities:

  • Perform conceptual and quantitative work to challenge models, in order to assess their accuracy and robustness
  • Identify risks and limitations of the models
  • Implement variety of tests aimed to examine model’s behavior under different scenarios and market conditions
  • Close collaboration with senior developers in delivering high-quality validation reports
  • Being up-to-date with the modeling techniques used in the industry and academic research

Desired Skills:

  • Professional experience in either model validation, model development, market risk or counterparty credit risk. Exceptional graduates with a strong technical background will also be considered.
  • Quantitative background (i.e. mathematics, physics, statistics) with a sound knowledge of stochastic calculus, statistics and Monte Carlo simulations
  • Knowledge of financial markets and products would be an asset
  • Strong communication skills both verbal and written as the work involves frequent interaction with model developers, risk managers and other stakeholders.
  • Being comfortable with at least one programming language (e.g. Python/R/C++)

We Offer:

  • Opportunity to work on variety of risk models and to expand your knowledge in the quantitative analysis field
  • Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading banks
  • Exposure to a wide range of internal stakeholders as well as to senior management
  • Package of trainings
  • Centrally located, state-of-the-art workplace, which boosts productivity and provides the employees with areas designed specifically for team building and relax
  • Flexibility in working hours
  • Attractive conditions of employment and benefit

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