Quantitative Risk Senior Analyst, Senior Vice President

Publix Serving (Civica)

Warsaw, Poland
Base: zł340,990.00 - zł580,610.00; bonus/equity: n...
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Counterparty credit risk models
Covariance matrices
Stochastic calculus, probability, statistics
** Citi's DART team is seeking a Senior Vice President for Quantitative Risk Analysis in Warsaw, Poland, focusing on developing and maintaining counterparty credit risk models. The ideal candidate will have strong quantitative skills, programming experience, and a solid understanding of regulatory requirements in finance. **

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

** Citi's DART team is seeking a Senior Vice President for Quantitative Risk Analysis in Warsaw, Poland, focusing on developing and maintaining counterparty credit risk models. The ideal candidate will have strong quantitative skills, programming experience, and a solid understanding of regulatory requirements in finance. **

Salary

Base: zł340,990.00 - zł580,610.00; Bonus/Equity: Not specified; Benefits: Attractive benefits package

Skills & Requirements

Must-have

  • counterparty credit risk models
  • covariance matrices
  • stochastic calculus, probability, statistics
  • large datasets
  • regulatory measures of counterparty credit risk

Nice-to-have

  • modern software development tools
  • intellectual curiosity
  • cross-functional project management
  • friendly and diversified environment

Key Requirements

  • Master's or PhD degree in a quantitative field
  • extensive demonstrated years of experience as a quant
  • Comfortable interfacing with business clients
  • Effective cross-functional project, resource, and stakeholder management

Work Rights

Not specified

Tailored Resume

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