Quantitative Risk Senior Analyst, Senior Vice President

Job description

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) release...