Senior Quantitative Analyst - Risk Capital Model Development

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.

By Joining Citi, you will become part of a global organization whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Role / Team Overview:  

This role is a key part of the Risk Capital Model Development team. You will contribute to the strategic direction of Risk Capital modelling within Risk Management and Citi overall through your deep conceptual and practical expertise in quantitative risk modelling. You will be responsible for the hands-on development and implementation of sophisticated risk capital models, working closely with team members and stakeholders across the firm.

What you'll do:

• 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.

• Interacts 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.

What we’ll need from you:

• 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.

What we can offer you:

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 (PPE Program)

• 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

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities. 

Copy and paste the URL below into a new tab on your web browser to view the Remuneration Regulations extract:  https://tbcdn.talentbrew.com/company/287/cms/v3/docs/policies/RemunerationRegulations-KeyProvisions-CitibankEurope_plc_05012025_A.pdf

If you have any questions or would like to discuss this opportunity further, please don't hesitate to reach out to Karola Sulińska at [email protected].

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Primary Location Full Time Salary Range:

zł241,750.00 - zł411,650.00

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Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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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.

 

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