Stress Testing Quantitative Analyst - VP
We are looking for candidates for AVP and VP positions depending on the level of experience.
The successful candidate will join the Legal Entity Quantitative Risk Support (LE QR Support) team in Warsaw. The mandate of the LE QR support is to provide risk analytics support, as well as model governance services to Risk Management and other partners in Citi and across various Legal Entities in EMEA, APAC and LATAM. The services that team provides are related to internal and external stress testing exercises (for example ICAAPs and regulatory driven industry wide stress testing exercises), the loan loss reserve processes and include:
- Calculate the impact of model overlays needed and ensure they are compliant with the Citi Model Risk Management Policy
- Perform sensitivity analysis to identify the most sensitive macroeconomic risk factors for each Legal Entity and subsequently cluster them based on similar vulnerabilities
- Project Manage the implementation of the operating model across all Legal Entities that the team provide services to
The role 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 related activities including scenario design, stress loss calculations, and economic capital and is global in scope, encompassing stakeholders across Risk, Finance and Model Development teams. The role will be located in Warsaw and report into the LE QR Support team, under the Model Governance organization.
The LE QR Support team will cover ongoing enhancements including:
- Assessment and implementation of the framework needed for each Legal Entity to streamline and optimize each ICAAP’s usage of centrally developed models (for example stress loss and economic risk capital models) and ensure that each usage is compliant with the Citi Model Risk Management Policy
- Support the scenario design process for ICAAPs across 40+ legal vehicles, vulnerability assessment, narrative development and development of core scenario shocks
- ICAAP governance enhancements to ensure legal vehicle compliance with the firm’s enterprise stress testing framework, model risk management, and capital planning policies and standards
- Presentation materials to senior stakeholders across EMEA, APAC, and LATAM senior management, global franchise management, and senior risk committees
- Bachelor’s degree (preferably Masters) in Mathematics, Economics, or another field with analytical focus (Finance, Engineering, Computer Science, etc.) is required
- 5 years of experience for VP in financial services sector, in roles requiring superior problem-solving analytical capabilities. Experience in areas such as Model Risk management and/or Macroeconomic analysis is highly desirable
- Experience in developing strategic plans for complex processes, drafting senior management communications; familiarity with relevant regulatory guidance (including IFRS9 based ICAAP credit stress loss methodologies, impairment staging rules, minimum coverage ratios, etc), are strongly preferred
Desirable Skills and Experience:
- Strong knowledge in topics related to Model Risk Management and Model Lifecycle is highly desirable
- Prior experience in a role that requires the design of macroeconomic scenarios and their role in IFRS9 modelling is highly desirable
- Strong analytical skills and working knowledge in the principles of wholesale credit (e.g. Pillar II modelling and IFRS9) and market risk, with ability to understand technical concepts
- Exceptional data analysis skills, with the ability to quickly manipulate large data sets and identify key trends relevant to big picture
- Exceptional writing and PPT skills, with the ability to synthesize complex concepts and translate into effective presentations to senior audiences
- Strong project management skills, with ability to build relationships confidently at all levels
- Highly motivated, with ability to work both independently and collaboratively
The successful candidate will have the opportunity to work on a wide range of analytical and strategic topics relevant for senior management and regulatory bodies. They will interact confidently with quantitative analysts and risk management professionals across multiple risk stripes and geographies, and in doing so, gain an expansive view of the firm.
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.
Job Family Group:Risk Management
Job Family:Risk Analytics, Modeling, and Validation
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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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