Senior Quantitative Risk Analyst
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
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The successful candidate will join the EMEA ICAAP team in Warsaw, part of the Quantitative Risk & Stress Testing (QRS) group. QRS’s mandate is to provide analytics and analyses to Risk Management and other partners across Citi. The QRS team develops credit, market, scenario, econometric and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; as well as supporting Basel, internal and external stress testing, and loan loss reserve processes.
Within QRS, the EMEA ICAAP team is responsible for the technical oversight and execution of quantitative analyses underpinning the Internal Capital Adequacy Assessment Process (ICAAP) and Solvent Wind Down (SWD) exercises for Citi’s UK and German legal entities. This includes the quantitative assessment of key inputs/outputs and limitations of Group-level risk models to ensure they are fit-for-purpose at the legal entity level. The team is also responsible for supporting new model development for regional solutions. The role’s focal point will be to support the further development of Citi’s ICAAP & SWD frameworks.
The candidate will have the unique opportunity to work in the fast paced environment of a growing team, contributing directly to capital adequacy initiatives that are critical to Citi’s regulatory compliance and risk management framework.
- Deliver in-region analytical support for scenario design, stress loss, and economic capital where needed, with a key emphasis on UK and German entities;
- Work closely with the global QRS development groups to ensure model usage and enhancements are fully compliant with Model Risk Policy and conform to regulatory guidelines;
- Ongoing maintenance of models used for regulatory exercises, including recalibration, performance monitoring, model testing and validation;
- Perform incremental model testing, including back-testing and sensitivity analysis, ensuring global models are appropriate for UK legal vehicle portfolios;
- Produce high quality documentation of quantitative results, providing insightful narrative on stress scenarios and losses, in ICAAP document.
- Graduate degree in Quantitative Finance or another quantitative field (Mathematics, Physics, Computer Science, etc.) is required;
- 3+ years of experience in financial services sector, preferably risk modelling/management, in roles requiring superior problem solving analytical capabilities. Must include experience across multiple risk stripes;
- Coding experience in Python and/or R;
- Familiarity with relevant regulatory guidance, including IFRS9 based ICAAP credit stress loss methodologies;
- Experience/knowledge of Credit & Market Risk models in the context of Pillar 1 and 2.
- Highly motivated to learn and to share knowledge;
- Ability to work independently according to a set of priorities;
- Exceptional writing skills, with ability to synthesise complex technical information;
- Strong project management skills, with ability to build relationships confidently at all levels;
- Ability to organize time, work to a plan, and finish all tasks accurately and on time.
- Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines;
- Giving careful attention to detail, whilst also considering bigger picture and wider implications;
- Capable of delivering high quality results, with challenging but positive influencing style.
What’s on Offer?
- Competitive salary
- A challenging work environment where you can collaborate with global teams to contribute to critical banking applications
- A great environment for learning new technology and tools, online and instructor led training opportunities
- Opportunity to work remotely
- Social benefits (e.g. private healthcare care, Benefit System, life insurance)
- Working in a friendly, dynamic and multinational environment
- Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
The successful candidates will have the opportunity to work on a wide range of analytical topics relevant for senior management decision making (CRO, CFO, and Board) and regulatory management. They will interact confidently with quantitative analyst and risk management professionals across multiple risk stripes and geographies, and in so doing gain an expansive view of the firm.
Job Family Group:Risk Management
Job Family:Risk Analytics, Modeling, and Validation
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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