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Wholesale Credit Loss Modeling - Vice President

Job Req ID 21293805 Primary Location Warsaw, Poland Job Category Risk Management
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We are a people-oriented organization that appreciates and promotes personal and professional aspirations. Our corporate culture is empathic: we acknowledge life-work balance throughout your career path.

Wholesale Credit Loss Modeling - Vice President

The Credit and Obligor Risk Analytics (CORA) group within Citi Quantitative Risk and Stress Testing (QRS) is looking to add several experienced quantitative analysts at Vice President level to join the Credit Loss Modeling team in Warsaw, Poland.  The team is responsible for development of the credit loss and stress-testing models for Citi's wholesale credit portfolios.

This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support the risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and lead all aspects of the model development life cycle, which includes interaction with Senior Risk, Finance, Model Validation, and Business Managers, Internal Auditors and Regulators.

In this position you will use and expand your experience and professional skills for the following responsibilities:

  • Research, develop, and maintain wholesale credit loss models used for regulatory stress testing, with focus on ICAAP and EBA stress testing
  • Support wholesale credit loss model development for firm’s global stress testing framework, including CCAR and internal stress testing
  • Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions
  • Provide analytical support to country/regional risk management teams; Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics. 
  • Actively engage across all model development teams with CORA, including PD/LGD/EAD models, and CECL/IFRS9 models.

The ideal candidate for this position preferably possesses the following qualifications and skills:

  • Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required.
  • Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required
  • 3+ years of experience in quantitative financial modeling.  Wholesale credit risk experience is preferred.
  • Good knowledge of bank stress testing in wholesale credit portfolios.  Experience in CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 calculation is a plus.
  • Familiar with statistics packages and regression models.
  • Strong programming skills in Python, R, C++, or other objected oriented languages.
  • Excellent communication skills, verbal as well as written.  Fluency in speaking, reading, and writing English is required.


  • flexible work arrangements in an organization that acknowledges life - work balance
  • career management and mentoring by senior colleagues and leaders
  • opportunity for participation in managerial development initiatives
  • inclusive and friendly corporate culture where gender diversity and equality is widely recognized
  • a socially active team and communities with diverse networking opportunities
  • a supportive workplace for professionals returning to the office from childcare leave
  • competitive compensation package

Your journey with Citi begins here – apply now!


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


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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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