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Senior Quant in in Economic Forecasting Team (VP)

Job Req ID 21300428 Primary Location Warsaw, Poland Job Category Risk Management
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Citi’s Economic Forecasting Team (EFT) under Quantitative Risk and Stress Testing (QRS); a global risk function is seeking to add a Macroeconomist/Econometrician who would be expected to provide thought leadership in designing, developing and executing  statistical and econometric methods for forecasting hundreds of variables that are grouped into macroeconomic and financial variables.  These forecasts are used as inputs by the firm’s entire suite of Internal Capital Adequacy Assessment Plan (ICAAP) stress testing exercise and forward looking loan loss reserve, capital projection models.  ICAAP stress tests are for internal capital or economic capital, which are requirements under Basel II pillar II.
The forecasts are based of hypothetical macroeconomic scenarios designed by EFT, provided by the local country regulators or a local country economist. The team’s current coverage includes Citi’s material legal entities and needs to expand to 20+ other countries where Citi has financial exposures. The variables are U.S. national, regional and international macroeconomic variables ranging from national income data, prices, labor, employment, trade, current account and international reserve positions. Financial coverage span across FX, sovereign rates, swap rates, credit spreads, CDS, bond prices, implied and realized volatilities, equities and commodity prices.  


Responsibilities:

  • The incumbent will be responsible for providing both a subject matter expertise and hands on experience in econometric model development, execution and assessment.

  • Be able to analyze in great detail macroeconomic scenarios and suggest judgmentally or using a model as needed different potential forward looking paths.  

  • The role requires the candidate to employ leadership and communication skills to signal to key stakeholders the results of their forecast and its implication to the broader regulatory initiative.

  • Following and analyzing economic and political developments in key developed and emerging market economies, assessing vulnerabilities, and making economic forecasts.

  • Interpret production output results and ensure forecasts results are consistent with scenario assumptions, model assumptions and statistical and econometric foundation assumptions.

  • Conduct necessary forecast oversight to ensure historical data and forecast consistency. 

  • Monitor global financial and economic trends and to identify and analyze key macro and market risks, along with their implications for the global economy and EFT’s forecasts. 

  • Articulate and disseminate rationale for forecasts based on macroeconomic and financial linkages, within the backdrop of a countries, monetary, fiscal and trade policies. 


Required Qualification:  

  • Minimum a Master’s degree in Economics, Econometrics, mathematics, statistics or equivalent.  PhD preferred. 

  • 2-5 years economist experience in a major financial, public or international institution.

  • Expertise in macro-economic analysis, forecasting 

  • Expertise in macro-economic scenario review and narratives and determine optimal set of macro/finance risk drivers, the respective forecast and forecast density.

  • Excellent verbal and written communication skills. 

  • Candidates must have experiences in SAS, MATLAB, R or Python programming environment. 

  • Previous experience in a role requiring managing/analyzing large data sets and presenting the data visually to senior management is highly desired.

  • Background from graduate level time series econometrics, Macroeconometircs, business forecasting is essential to be successful in this role.   

  • Background and experience in consumer or commercial risk, especially forecasting models is a plus.

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

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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.

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