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Data Scientist - IFRS9 Model Developer

Job Req ID 24751340 Location(s) Warsaw, Poland Job Type Hybrid Job Category Risk Management
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The Credit and Obligor Risk Analytics (CORA) group is looking to add a Model Developer at the Vice President level to the IFRS9 Credit Reserves Team based in Warsaw.  The team is responsible for the development & maintenance of IFRS9 expected credit loss models used by Citi entities globally.

This is a highly visible position with many career opportunities and cooperation with different Citi’s Teams whole over the world.

Responsibilities:

  • Research, develop, and maintain IFRS9 wholesale expected credit loss and related models used for setting reserves for Citi and its subsidiaries.
  • Work to keep Citi’s Wholesale IFRS 9 models in line with international standards and with specific requirements for local reporting units, while aligning credit loss methodology with other wholesale credit loss models used for CECL, CCAR and ICAAP.
  • Perform ongoing monitoring and testing of the IFRS9 expected credit loss models (e.g. sensitivity and back-testing). Lead annual model reviews and performance testing and/or redevelop as needed.
  • Work with Finance and Risk teams worldwide to support local reporting and interactions with local auditors and regulators. Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics. 
  • Work with model validation and implementation teams on the ongoing basis
  • Deliver comprehensive technical and non-technical model documentation
  • Actively engage across all model development teams within CORA, including those developing PD/LGD/EAD models, and Credit Loss/Stress Testing models.
  • Apply critical thinking in solving complex business problems with quantitative tools in a collaborative, fast-paced environment.

Qualifications:

  • Masters in Econometrics, Statistics, Math, Finance, Economics, or an Applied Science.  CFA or FRM is a plus.
  • 5+ years of experience in quantitative area, experience in credit risk management area, especially IFRS9/CECL credit reserves calculation or expected credit loss stress testing, is a plus.
  • Hands-on experience with the research, development, and implementation of credit risk models, including technical and non-technical documentation.
  • Strong programming skills in Python, R, or other objected oriented languages. Familiarity with statistics packages and regression models.
  • Working knowledge of Accounting and Corporate Finance relevant to banking industry is a significant plus.
  • Excellent communication skills, verbal as well as written.
  • Ability to make decisions / balance aggressive timelines for deliverables amidst conflicting priorities.

We offer:

  • Opportunity to work in an international, multi-cultural environment.
  • Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies.
  • Access to the latest technologies and tools.
  • Opportunity to learn through participation in various projects and cross training.
  • Attractive conditions of employment and benefits.
  • High exposure coming from direct cooperation with senior management.

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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