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Qualitative Models Validation Expert (VP)

Job Req ID 21269741 Primary Location Warsaw, Poland Job Category Risk Management
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Join our growing Qualitative Model Validation team!

Our Team is part of the Model Risk Management (MRM) group within the Risk organization. 

The Qualitative Model Validation team is a newly established function, which is responsible for reviewing and assessing qualitative models as part of Citi’s Model Risk Management framework. The main objective is to ensure that qualitative models are used appropriately by the business and that model users are aware of the models’ limitations and weaknesses that should be mitigated by compensating controls.  A Qualitative Model is based upon key assumptions which are primarily qualitative, e.g., based on expert judgment or other qualitative evidence. 

Key Activities include:

  • Performing independent validation of qualitative models across the firm, in line with the Citi Model Risk Management Policy and procedures. This includes:

    • Critically reviewing the appropriateness of a Qualitative Model versus alternative quantitative approach with respect to the modeling objective and the available model development data

    • Producing high quality validation reports, including highlighting risks and limitations of the model.

    • Evaluating testing approach and results for individual models in accordance with MRM guidance

    • Assessing the ongoing performance monitoring of the models

    • Contributing to regulatory and internal audit related responses

  • Collaborating with other teams within Risk and the Business regarding qualitative models to facilitate compliance with our policies, procedures, and guidance. 

  • Performing complex analyses of comparative data, preparing and presenting reports and other meeting materials to MRM senior management.

  • Working with the MRM Governance and Inventory teams to design, develop, deliver and maintain best-in-class qualitative model validation process standards, guidance, practices, templates, and other documentation.

Qualifications:

  • Master’s degree in Finance or Economics, or quantitative discipline (statistics, quantitative finance, econometrics)

  • 5+ years of experience / knowledge of Banking, Treasury, Finance / Risk management preferred

  • Demonstrate excellent partnership and teamwork skills

  • Strong written and verbal communication skills

  • Good analytic, creative thinking and problem solving abilities

  • Adept and meticulous at analysis and documentation

  • Ability to multi-task, work well under pressure and committed to deliver under tight deadlines

  • Knowledge of financial markets and products

  • Qualitative or quantitative model risk management experience is a plus

  • Experienced user of Microsoft Office Suite, especially Excel, PowerPoint and Word. Knowledge of Python or R language would be a plus.

  • Solid knowledge of time series analysis, statistics and econometrics would be highly advantageous.

What we offer:

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls

  • Opportunity might arise in the future to lead a smaller team

  • Cooperation with a high quality, international, multicultural and global team

  • Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

  • Management supporting balanced and agile work (flexible working hours, home office)

  • Attractive benefits package (Benefit System, medical care, pension plan etc.)

  • A chance to make a difference with various affinity networks and charity initiatives.

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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:

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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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