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Citi Handlowy is seeking a Senior Vice President for their Quantitative Risk team in Warsaw, Poland. The role focuses on developing and maintaining counterparty credit risk models, requiring advanced technical skills and a strong mathematical background.
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Job Summary
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.
Perform impact analysis of any changes in covariance matrices with reference to internal risk management and regulatory measures of counterparty credit risk (EPE, PFE, CVA).
Gain in-depth knowledge of all counterparty credit risk models and all trading book products, offering significant business and personal development opportunities.
Matching Summary
Match Score: 75
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Citi Handlowy is seeking a Senior Vice President for their Quantitative Risk team in Warsaw, Poland. The role focuses on developing and maintaining counterparty credit risk models, requiring advanced technical skills and a strong mathematical background.
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Salary
Base: zł340,990.00 - zł580,610.00; Bonus/Equity: Not specified; Benefits: Not specified
Skills & Requirements
Must-have
Counterparty credit risk models
Covariance matrices and stress periods
Stochastic calculus, probability, statistics
Large datasets analysis
Regulatory capital calculations
Nice-to-have
Intellectual curiosity
Cross-functional project management
Senior stakeholder communication
Key Requirements
Master's or PhD degree in quantitative field
Extensive demonstrated years of experience as a quant
Solid programming skills
Effective engagement with internal audit and external regulators