full-time
Wholesale Credit Reserves & Loss Modelling - Quantitative Analyst
Citi
- Employer
- Citi
- Location
- Warszawa, Pomeranian Voivodeship, Poland
- Working pattern
- hybrid
- Salary
- PLN 241,750–PLN 411,650 / year
About the role
Research, develop, test, and implement wholesale expected credit loss and stress-testing models, including models for IFRS 9, CECL, ICAAP, and related regulatory requirements. Analyze and communicate model results, build analytical functions in Python, and support risk, finance, validation, audit, and supervisory stakeholders. A master's degree in a quantitative field and at least three years of quantitative financial modeling experience are required, along with hands-on financial model development and implementation experience. Candidates should have strong Python skills, statistical and regression modeling familiarity, and the ability to apply quantitative methods and communicate results; wholesale credit, IFRS 9/CECL, stress testing, PD/LGD/EAD, and Linux knowledge are advantageous.