Quantitative Risk Senior Analyst, Senior Vice President

Team/Role Overview

DART (The Risk Data, Analytics, Reporting & Technology team) is Citi's leading risk modeling and data analytics team. We leverage mathematical modeling and the latest technologies to calculate risk for Citi's largest portfolios. We use visualizations and dashboards to effectively communicate risk to senior stakeholders. Our models and analytics ensure that the bank maintains adequate capital during crises.

The Counterparty Credit Risk Model Production team within DART is seeking an SVP Model Developer to join the team in Warsaw, Poland. This team is responsible for calibrating and maintaining models that calculate counterparty credit risk exposures for derivatives and SFT products. These models are crucial for advanced Basel regulatory capital calculations and internal risk management measures.

What you'll do

• Develop, maintain, and enhance models for counterparty credit risk, with a specific focus on the construction and calibration of counterparty risk covariance matrices and the identification of stress periods.

• Calibrate and maintain simulation models for counterparty credit risk purposes.

• Contribute to the production and User Acceptance Testing (UAT) releases of covariance matrices.

• Perform impact analysis of any changes in covariance matrices with reference to internal risk management and regulatory measures of counterparty credit risk (EPE, PFE, CVA).

• Develop and implement methodologies, algorithms, and diagnostic tools for testing model robustness, stability, reliability, performance, and the quality control of modeling data.

• Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, and process and quality controls.

• Prepare model documentation and coordinate with Risk IT technology to test the implementation of counterparty credit risk models.

• Build local expertise in counterparty credit risk models and foster relationships with internal risk management and other functions.

• Support various tasks in response to regulatory and internal risk management requirements.

• Prepare reports and detailed quantitative analyses for presentation to senior management and regulators.

• Provide training to other team members when necessary, as well as support in daily work.

• Assist the team head in managing day-to-day processes and tasks within the team.

Development Value

• Gain in-depth knowledge of all counterparty credit risk models and all trading book products, offering significant business and personal development opportunities.

• Acquire extensive product/structure knowledge across all asset classes.

• Develop a deep understanding of industry regulatory requirements from a high-level perspective.

• Opportunity to interact with all businesses across Citi.

What we'll need from you

• Solid programming skills, with experience in statistical/data analysis techniques and numerical implementations, and some familiarity with modern software development tools, are required.

• Excellent mathematical skills, including stochastic calculus, probability, and statistics.

• Passionate interest in finance with strong knowledge of regulatory measures of counterparty credit risk and regulatory models.

• Comfortable interfacing with business clients.

• Proficiency in handling very large datasets.

• Effective cross-functional project, resource, and stakeholder management; ability to effectively engage with internal audit and external regulators.

• Intellectual curiosity to stay abreast of technological advances.

• Consistently demonstrates clear and concise written and verbal communication skills.

• Self-motivated and detail-oriented.

• Demonstrated project management and organizational skills, and the capability to handle multiple projects simultaneously.

• Master's or PhD degree in a quantitative field (Mathematics, Statistics, Finance) with extensive demonstrated years of experience as a quant in the financial industry.

What We Offer

• Work in a challenging area of the financial industry with one of the world's leading companies, gaining exposure to a variety of products, processes, and controls.

• Cooperation with a high-quality, international, multicultural, and global team.

• Work in a friendly and diversified environment that appreciates differences in style and perspective, leveraging them to add value to decisions leading to organizational success.

• Management th