Senior Quantitative Model Risk Developer, Senior Vice President

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Job Overview

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in numerical computation and Quantitative Risk Modelling to our Market Risk Analytics team in Warsaw,

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

Risk Capital is a firm-wide metric to measure economic capital usage at the consolidated Citigroup and CBNA levels as well at the detailed business unit level. It is also used for regulatory reports for most legal entities in their ICAAP exercises. The models are also used extensively in various risk areas to set limits and to assess the risk-adjusted profitability of large transactions, concentration risk, and unexpected losses through-out-cycles on under server stresses.

The hiring team leads the model development efforts for an inventory of economic risk capital models ranging from trading book to banking and retail business, covering the risk types including wholesale credit, trading market risk, trading counterparty credit risk, retail, and non-trading market and interest rate risks. The role to be filled will lead a group of members and focus on delivering model maintenance and improvements for wholesale credit risk as well as economic risk capital model usages for ICAAP exercises. The qualified candidate would also lead the engagements with key stakeholders including model sponsors and risk managers, model validators, regional CROs, and regulators global wise.

What you'll do

• Develops, enhances, and validates the methods of measuring and analysing economic risk capital metrics, focusing on particularly wholesale credit and its application to ICAAP. Qualified candidate may also extend his/her scope to be involved in model development for trading book market risk, counterparty credit risk, and other banking book risk models.

• Lead the effort through model development and maintenance lifecycle including methodology choices, model performance analysis, model implementation, model validation, and model performance monitoring and production supports.

• Ensures the compliance of development and validation of models with respect to internal and external guidelines.

• Advances Risk Management methodology and support business users, risk managers, risk officers, regulators, and model validators to ensure the soundness of our economic risk capital framework and cutting edge model methods and technics are used to capture key risks accurately and promptly.

• Interacts with senior levels of management to facilitate understanding of usage of risk models and inform critical decisions.

• Provide leadership and guidance for junior modelers, and participate in team project management and resources planning.

What we'll need from you

• Extensive experience in risk model development and implementation. Familiar with the major methodologies and concepts for credit risk management.

• Sound knowledge of statistical modeling concepts and industry best practices; experience with econometric and statistical modeling or application risk scoring.

• Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.

• Experience with analytical or data analysis and manipulation tools including SQL and python. Proficient in C++/C, Python.

• Ability to deliver compelling presentations and influence executive audiences. Strong communication skills for explaining models methodologies, results, and provide business analysis for model performance. Effectively engage with internal audit and external regulators.

• Excellent communicator; ability to engage and inspire team forward.

• Ability to drive innovation via thought leadership while maintaining end-to-end view.

• Effective cross-functional project, resource, and stakeholder management;

• Masters and above degree in a quantitative discipline such as mathematics, financial engineering, physics, statistics, and computer science.

What we can offer you

This role provides the opportunity to work in a challenging area of the financial industry with one of the world's leading companies, with exposure to variety of products and techniques. You will solve both technical and practical problems, collaborate with other Risk Quantitative Analysis teams and interact with Risk Management, IT and Front Office stakeholders.

By joining Citi Solutions Centre Poland, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits such as:

• Private Medical Care Program

• Life Insurance Program

• Pension Plan contribution (PPE Program)

• Employee Assistance Program

• Paid Parental Leave Program (maternity and paternity leave) 

• Sport Card

• Holidays Allowance

• Sport and team recreation activities

• Special offers and discounts for employees

• Access to an array of learning and development resources 

• A discretional annual performance related bonus

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

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities

#LI-PM3

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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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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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