Senior Model Risk Analyst

Join our growing Qualitative Model Validation team! If you have a problem solving mindset, challenging status quo is your domain, and would like to learn about variety of aspects, including but not limited to models used in financial forecasting, stress testing, market risk, operational risk, and credit risk in a global bank this role might be for you! We are Qualitative Models Validation team - Quantitative skills are not a must!

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

The Qualitative Model Validation team is responsible for reviewing and assessing qualitative models as part of Citi’s Model Risk Management framework. The main objectives are 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. Qualitative Models are mainly used in the stress testing and financial planning processes and are based on algorithms that are a combination of mathematical operations and qualitative assumptions. The result of the validator's work is a validation report taking into account the risks and limitations of the model resulting from the assessment of documentation and testing in accordance with internal standards. Projects are based on interaction with experienced experts. We offer work with a large variety of models (global models, from many areas of banking, regarding various banking products), in a dynamically developing international team.

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

• Assisting with preparing the reports and other meeting materials to MRM senior management

• Supporting the process of designing, developing, delivering and maintaining best-in-class qualitative model validation process standards, guidance, practices, templates and other documentation

Qualifications:

• Minimum Bachelor’ degree in Finance or Economics, or quantitative discipline (statistics, quantitative finance, econometrics). Masters’ degree is preferable

• Ideally 3 years of experience / knowledge of Banking, Treasury, Finance / Risk management preferred, however talented candidates with fewer years of experience will be considered

• Demonstrate excellent partnership and teamwork skills

• Ability to clearly and concisely formulate findings in a written form and good 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 would be a plus

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

• Knowledge of time series analysis, statistics and econometric would be a plus

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

• 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

If you need more information please contact with Piotr Buzala (piotr.buzala@citi.com) or Magdalena Rozkowicz (magdalena.rozkowicz@citi.com).

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