Citi Risk Models Validation Analyst in Warsaw, Poland

  • Primary Location: Poland,Mazowieckie,Warsaw

  • Education: Higher Degree

  • Job Function: Risk Management

  • Schedule: Full-time

  • Shift: Day Job

  • Employee Status: Regular

  • Travel Time: No

  • Job ID: 17023083


We are looking for model risk manager and validator for validating Risk models, which includes Credit Risk, Market Risk, Counterparty Credit Risk, Structured Risk, Operational Risk, and Liquidity Risk models for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements.

Our rigorous validations cover both technical and functional aspects of Model Risk Management, including the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications.

Job responsibilities:

  • Challenging miscellaneous models, mainly from market and counterparty risk areas, in order to assess their accuracy and robustness, by the use of mathematical tools and techniques

  • Independent implementation of variety of tests aimed to examine model’s behaviour under different scenarios and market conditions

  • Close collaboration with senior personnel in delivering high-quality validation reports and highlighting risks and limitations of the model

  • Communicate the findings of your model reviews to a wide range of audiences, which will include senior management, regulators, model developers and end-users



  • Graduate degree in a highly quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Economics or Engineering)

  • Sound knowledge of Calculus, Numerical Analysis, Statistics, Monte Carlo simulations and Linear Algebra

  • Strong communication skills both verbal and written

  • Basic knowledge of financial products, derivatives, pricing methodologies, risk management, Basel/CCAR regulatory requirements

  • CQF, CFA, FRM or PRM certification would be an additional asset

  • Ability to work independently

  • Solid writing skills (publications in peer-reviewed journals are considered as good evidence)

  • Programming skills: C++/ R/ Python/ (at least one of them on an advanced level)

  • Fluent English

We offer:

  • Opportunity to work on variety of risk models and to develop and expand your knowledge in quantitative analysis field

  • Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies

  • Centrally located, state-of-the-art workplace, which boosts productivity and provides the employees with areas designed specifically for team building and relax

  • Access to the latest technologies and tools

  • Exposure to a wide range of internal stakeholders as well as to senior management

  • International working environment

  • The package of trainings

  • Some flexibility in working hours

  • Attractive conditions of employment and benefit