Stress Testing Quantitative Analyst (Hybrid)

The successful candidate will join the Legal Entity Analytics (LEA) team in Warsaw. The mandate of the LEA team is to provide risk analytics support, as well as model governance services, to Risk Management and other partners in Citi and across various Citi Legal Entities in EMEA, APAC and LATAM. The LEA team sits under the Data, Analytics, Reporting and Technology (DART) structure within Risk, and is spread across multiple geographical locations. The services that the team provides are related to internal and external stress testing exercises (for example ICAAPs and regulatory driven industry wide stress testing exercises), and include

• Supporting legal entities with quantitative requirements for their ICAAP submissions, in particular scenario design and choice, and model results applicability for both stress testing and economic capital.

• Providing quantitative tools to support the review by Risk Management of ICAAP results, and ensuring appropriate MI is provided to Risk Management to help them their interpretation of results.

• Maintain ICAAP model inventory for regionally-supported models, and interface between legal entities and central modelling teams to ensure models meet legal entity-specific requirements.

• Additional support for regulatory exercises with higher focus, such as regulatory-prescribed stress testing.

Key responsibilities

The successful candidate will be engaged in complex, strategic activities across multiple projects and workstreams to enhance end-to-end ICAAP stress testing processes. This spans a wide range of ICAAP Activities including scenario design, stress loss assessment and economic capital, and is global in scope. Stakeholders include Risk, Finance and Model Development / Model Validation teams. This role in particular focuses on

• Assessment and implementation of the framework needed for each legal entity to make appropriate use of centrally-developed ICAAP frameworks

• Support, from a quantitative perspective, the scenario design and applicability process for ICAAPs for approximately 20 legal entities

• Ensure compliance with the Citi Model Risk Management Policy, by supporting both model sponsor controls, and model users’ assessment of limitations and assumptions.

Qualifications & Experience

• Bachelor’s degree (preferably Masters) in Mathematics, Economics, or another field with quantitative focus (Finance, Engineering, Computer Science, etc.) is required

• Minimum 2+ years of experience in financial services sector, in roles requiring exceptional problem-solving skills

• Excellent data analysis skills, with the ability to quickly manipulate large data sets and identify key trends relevant to the big picture. Experience in one or more programming language.

• Excellent writing and PPT skills, with the ability to synthesize complex concepts and translate into effective presentations

• Strong project management skills, with the ability to build relationships confidently across seniority levels

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

• Experience in developing strategic plans for complex processes and drafting senior management communications is strongly preferred

• Strong knowledge in topics related to Model Risk Management and Model Lifecycle is highly desirable

• Knowledge of regulatory and other guidance relating to IFRS9 and ICAAP (economic capital and stress testing) will be a significant advantage, as will in-depth knowledge of one or more risk stripes (for example credit risk, market risk, IRRBB)

In return, we offer:

• Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance)

• 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

• A great environment for learning new technology and tools, online and instructor led training opportunities

• 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

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

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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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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