Stress Testing Model Developer - VP

The successful candidate will join the UK Legal Entity Analytics (LEA) team within the Global Data, Analytics, Reporting and Technology (DART) Organisation. The mandate of LEA is to provide Model Sponsor support activities, define methodology assumptions, develop models and support RMCO/CROs in assessing stress testing results.    

The successful candidate for this role will contribute to developing analytical tools that are developed for ICAAP and Trading Wind Down (TWD) exercises, as well as provide the analytical support required by the size and complexity of Citi’s UK legal entities. This includes the development of new models they are fit-for-purpose at the legal entity level when new regional solutions are deemed appropriate. The success candidate will be part of a team of model quants that have developed models for ICAAP (mainly counterparty credit risk) and TWD (mainly market risk) and will be expected to conceptually contribute to the design of modelling enhancements, as well as perform hands-on model development.   

Responsibilities:

• Ensure that all models developed by the team are compliant with the Citi Model Risk Management Policy and that all subsequent lifecycle activities (e.g. limitation remediation and ongoing performance analysis) are completed within timelines set up by Citi Model Validation team

• Perform hands-on model development when new models are deemed necessary. Create synergies when developing new models to consider requirements across LEA teams in material legal entities

• Contribute to activities required to enhance the models developed for the UK ICAAP and TWD exercises

• Work closely with Global development groups to ensure that already developed methodologies are utilised to the maximum when developing a new model

• Play the role of model developer e.g. write code in Python and submit documentation to Citi Model Risk Management, when model enhancements for Global models are deemed necessary and Global teams do not have the capacity to support ICAAP/TWD tight timelines

Academic Qualifications

• Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering

Experience and Skills

• 6+ years of experience in financial services sector, in roles requiring superior problem-solving analytical capabilities (in the context of ICAAP and/or TWD is highly desirable)

• Experience in model development is prerequisite; experience in Market Risk modelling e.g. VaR and Monte Carlo Simulation and/or experience in Counterparty Credit Risk e.g. CVA, exposure profile modelling are strongly preferred

• Very good programming skills in at least one programming language, Python most preferably

• Familiarity with PRA regulatory guidance around financial stress testing principles and methodologies (inc. TWD), are strongly preferred

• Demonstrated organizational skills and capability to handle multiple projects at one time and ability to build relationships confidently at all levels;

• Expert in topics related to Model Development Lifecycle and Model Risk Management;

Personal Traits

• Highly motivated, with ability to work both independently and collaboratively

• Logical and thoughtful approach to work, with ability to perform well under pressure and 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?

The successful candidate will have the opportunity to work on a wide range of strategic and analytical topics within capital planning and stress testing frameworks. The candidate will also have the opportunity to interact with a wide team of quantitative risk analysts, risk management professionals and senior management across multiple geographies and businesses, and in doing so, gain an expansive view of the firm

Valuing Diversity: Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success

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