Senior Quantitative Model Risk Developer, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

Senior role developing economic risk capital models covering trading book to banking and retail business, including wholesale credit, trading market risk, trading counterparty credit risk, retail, and non-trading market and interest rate risks. Focus on model maintenance and improvements for wholesale credit risk and economic risk capital model usages for ICAAP exercises.

Job Responsibility:

Develops, enhances, and validates methods of measuring and analysing economic risk capital metrics
Lead model development and maintenance lifecycle including methodology choices, model performance analysis, implementation, validation, and monitoring
Ensure compliance of development and validation of models with internal and external guidelines
Advance Risk Management methodology and support business users, risk managers, risk officers, regulators, and model validators
Interact with senior levels of management to facilitate understanding of usage of risk models
Provide leadership and guidance for junior modelers
Participate in team project management and resources planning

Requirements:

Extensive experience in risk model development and implementation
Familiar with major methodologies and concepts for credit risk management
Sound knowledge of statistical modeling concepts and industry best practices
Experience with econometric and statistical modeling or application risk scoring
Excellent quantitative and analytic skills
Experience with analytical or data analysis and manipulation tools including SQL and python
Proficient in C++/C, Python
Ability to deliver compelling presentations and influence executive audiences
Strong communication skills for explaining models methodologies and results
Excellent communicator
ability to engage and inspire team forward
Ability to drive innovation via thought leadership
Effective cross-functional project, resource, and stakeholder management
Masters and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, and computer science

What we offer:

Private Medical Care Program
Life Insurance Program
Pension Plan contribution (PPE Program)
Employee Assistance Program
Paid Parental Leave Program (maternity and paternity leave)
Sport Card
Holidays Allowance
Sport and team recreation activities
Special offers and discounts for employees
Access to learning and development resources
Annual performance related bonus

Additional Information:

Job Posted:
August 29, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Senior Quantitative Model Risk Developer