Counterparty Credit Risk Model Analyst

Warsaw, Mazovia, Poland

Hybrid

Sep. 28, 2026

Working at Citi is far more than just a job. A career with us means joining a team of approximately 219,000 dedicated people from around the globe. At Citi, you’ll have the opportunity to grow your career, give back to your community and make a real impact.

The Counter party Risk Analytics (CRA) team is responsible for developing and maintaining the methodologies to calculate counter party credit risk exposures of OTC derivatives, exchanged-traded derivatives, security financing transactions, and margined loans. The models are used for advanced Basel regulatory capital calculations, CCAR/Internal Capital Adequacy Assessment Process (ICAAP) estimations, and internal risk management measures (PFE/EPE).

Additionally, the team provides live-deal analysis to business and risk management by calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels, and determining initial margin requirements. The team also conducts impact analysis for capital optimization initiatives and new regulatory rules related to counter party risk, and ensures models and data logics are implemented correctly in credit risk systems.

• Develop, maintain and enhance models for counter party credit risk especially in reference to construction and calibration of counter party risk covariance matrices and identification of stress period;
• Calibrate and maintain simulation models for the purpose of counter party credit risk;
• Contribute in the production and UAT releases of covariance matrices;
• Perform impact analysis of any changes in covariance matrices in reference to internal risk management as well as regulatory measures of counter party credit risk (EPE, PFE, CVA);
• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data;
• Develop, maintain, and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls;
• Support various tasks in response to regulatory and internal risk management requirements;
• Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.

• Experience:
  
  2+ year experience as a quantitative analyst or risk analyst in the financial industry;
• Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required.
• Knowledge:
  Excellent mathematical skills, including stochastic calculus, probability and statistics;
• Passionate interest in finance with strong knowledge on regulatory measures of counter party credit risk and regulatory models;
• Comfortable interfacing with business clients. Proficiency handling very large data sets;
• Proficient in Microsoft Office with an emphasis on MS Excel;
• Consistently demonstrates clear and concise written and verbal communication skills;
• Self-motivated and detail oriented;
• Demonstrated project management and organizational skills and capability to handle multiple projects at once.
• Master or higher degree is strongly preferred, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, finance, etc.).

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…