Stress Testing Model Developer

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Job Overview

The successful candidate will join the Material Legal Entity (MLE) Stress Testing team within the Enterprise Risk Management (ERM) Organization. The mandate of the team is to provide Model Sponsor support activities, define methodology assumptions, develop models and support CRO in assessing stress testing results.    

The successful candidate for this role will contribute to oversee analytical tools/models that are developed for CGML’s ICAAP exercise, as well as provide the analytical support required by the size and complexity of the CGML legal entity. This includes the development of new models that they are fit-for-purpose at the legal entity level when global solutions are not available. The successful candidate will be part of a team that have developed models for ICAAP (mainly counterparty credit risk) and will be expected to conceptually contribute to the design of modelling enhancements, as well as perform hands-on model development. Apart from model development, the team is responsible for the end-to-end CGML ICAAP process (Risk side) and this includes review of ICAAP results, assessment of ICAAP scenarios and correspondence with the UK regulator i.e. PRA.  

Responsibilities:

• Analyse ICAAP results and provide commentary of the key drivers, as well as prepare decks for senior committees where ICAAP results are discussed and approved

• Play the role of model developer e.g. write code in Python and submit documentation with testing to Citi Model Risk Management, when model enhancements for Global models are deemed necessary, or a new model is required

• Contribute to activities required to enhance the models developed for the CGML ICAAP i.e. liaise with Model Sponsor and Reporting teams to analyse data and modelling assumptions

• Design, implement and monitor ICAAP controls, as well as automate data controls in Python, for the models used in the CGML ICAAP

• 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

• 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

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

• Experience in model development is strongly preferred e.g. 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

• 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, is 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;

• 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

By joining Citi Solutions Center 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-KS3

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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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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