Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi’s Risk Management Team.
By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
Team/Role Overview
The Credit, Climate, and Obligor Risk Analytics (CORA) group within Citi is looking to add an experienced quantitative analyst at Senior Vice President level to join the Default Risk team. The team is responsible for development of the credit risk models used for Basel, stress-testing, loss reserves 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 risk management of global wholesale credit portfolios.
The successful candidate will be a part of highly productive analytical team and will be involved in all aspects of the model development process (research and development, implementation, monitoring, validation), which includes interaction with Business, Risk, Finance, Model Validation, Internal and External Audit and Regulators.
What you’ll do
- Research, develop, and maintain advanced scenario-based loss likelihood and loss severity models for wholesale credit portfolios for Basel, stress-testing (CCAR, ICAAP), reserves (CECL, IFRS9).
- Develop quantitative methodologies, algorithms, and tools for model development as well as for testing of models' robustness, stability, and overall performance.
Conduct reliability analyses and perform quality control of modeling data and model results. - Manage model risk across the entire model life-cycle, including model development, model validation, ongoing performance assessment, and annual model reviews.
Create and maintain technical documentation for modeling methodologies and applications, including project plans, model descriptions, mathematical derivations, data analyses, processes, and quality controls. - Implement quantitative analytical tools and support model migration to the production environment.
- Liaise with business risk managers, clients and partners in the analysis and interpretation of model results, incorporating their feedback as appropriate.
Manage stakeholder interaction with model developers and business owners throughout the model life-cycle. - Prepare and deliver training materials, presentations, and reports on credit risk analytics for technical and non-technical audiences.
- Provide leadership and guidance for junior modelers.
- Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
- Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.
- Actively engage across all model development teams within CORA.
What we’ll need from you
- Significant years in quantitative financial modeling.
- Hands-on experience with the research, development, validation and implementation of credit risk models.
- Experience in credit risk parameter (Probability of Default, PD/Loss Given Default, LGD/Exposure at Default, EAD) modeling and/or validation. Sound knowledge and understanding of a variety of model development methodologies and industry best practices.
- Proficiency in working with large data sets and data pulls from relational databases.
Knowledge of wholesale credit products and financial markets at a financial institution. - Knowledge of bank stress testing and loss reserves for wholesale credit portfolios for CECL and CCAR or global IFRS9/ICAAP calculation is a plus.
- Experience in Commercial Real Estate PD and LGD modeling is a plus.
- Strong programming skills in Python, C++, or other advanced programming languages. Knowledge of git and GitHub/bitbucket is a plus.
- Self-motivated and detail oriented.
- Demonstrated project management and organizational skills and capability to handle multiple projects simultaneously.
- Excellent communication skills, verbal as well as written.
Master or PhD degree in Mathematics, Physics, Computer Science, Econometrics, Statistics, Engineering or another quantitative field is required. - Bachelor’s degree preferably.
What we can offer you
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.
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Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
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.------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
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