דרושים Model Validator - Pricing Algorithmic Trading Models ב-Citi Group ב-Poland, Warsaw

What you will do:

• Manage a team of Internal Audit professionals, recruit staff, lead professional development, build effective teams and manage a budget

• Manage Internal Audit Model Risk activities

• Deliver audit reports, Internal Audit and Regulatory issue validation and business monitoring and governance committee reports

• Lead reviews for all types of reviews, including the most complex, and review and approve Business Monitoring Quarterly Summaries

• Participate in major business initiatives and pro-actively advise and assist the business on change initiatives

• Implement integrated auditing concepts and technology, and follow trends in the Audit field and adapt them for the Audit function

• Identify solutions for a variety of complex and unique control issues, utilizing complex judgement and sophisticated analytical thought

• Analyze report findings, and recommend interventions where needed, proposing creative and pragmatic solutions to risk and control issues

• Partner with Directors and Managing Directors to develop approaches for addressing broader corporate emerging issues

• Appropriately assess risk when business decisions are made.

What we'll need form you:

• 10+ years of experience in a related role

• Very good understanding of Model Development or Model Validation process.

• Related certifications (CPA, ACA, CFA, CIA, CISA or similar) preferred

• Demonstrated successful experience in business, functional and people management

• Proven ability to execute concurrently on a portfolio of high quality deliverables according to strict timetables

• Demonstrated ability to implement continuous improvement and innovation in audit tools and techniques

• Clear and concise written and verbal communication and negotiation skills

• Strong project management skills

• Very good influencing and relationship management skills

• Demonstrated ability to remain unbiased in a diverse working environment

Education:

• Bachelor’s degree/University degree or equivalent experience; Master’s degree preferred

• Degree in one of the following areas preferred: Quantitative Finance or Economics, Statistics, Data Science.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

By joining Citi Poland, you will not only be part of a business casual workplace with a hybrid working model (2 days working at home per week), but also receive a competitive compensation package and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well:

• Paid Parental Leave Program (maternity and paternity leave); A supportive workplace for professionals returning to the office from childcare leave

• Award-winning pension plan,​ multisport, holiday allowance

• Private Medical Care Program, Group Life Insurance

• Consideration for annual discretionary bonus

• Employee Assistance Program

• Access to a wide variety of learning and development programs, online course libraries and upskilling platforms, such as Udemy and Degreed

• Flexible work arrangements to support you in managing work - life balance

• Career progression opportunities across geographies and business lines; Mentoring Programs

• Socially active employee communities with diverse networking opportunities

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What you will be doing

• Develops, enhances, and validates the methods of measuring and analysing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies
• Manages model risk across the model life cycle including model development, model validation, ongoing performance evaluation and annual model review.
• Produces analytics and reporting used to manage risk for Citi's operations
• Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results
• Assists in the development of analytic engines for business product lines
• Communicates results to diverse audiences
• Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards
• Participates on teams to solve business problems
• Identifies modelling opportunities that yield measurable business results
• Provides guidance to junior validators as and when necessary
• Manages stakeholder interaction with model developers and business owners during the model life cycle
• Represents the bank in interactions with regulatory agencies, as required
• Presents model validation findings to senior management and supervisory authorities
• Provides effective challenge to model assumptions, mathematical formulation, and implementation
• Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
• Contributes to strategic, cross-functional initiatives within the model risk organization

What we need from you

• Proven track record of success operating as a Model Risk & Validation Officer
• Practical experience using SAS, R or similar statistical coding software to build and test prediction models
• Comfortable interfacing with business clients. proficiency handling very large data sets
• Proficient in Python programming and object-oriented programming concepts
• Consistently demonstrates clear and concise written and verbal communication skills
• Knowledge of Git or other code repositories
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models
• Master's degree with 5-10 years' experience or a PhD in a quantitative field

What we offer

By joining Citi Solutions Centre 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)
• Sports Card
• Holidays Allowance
• Sport and team recreation activities
• Exclusive 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

Time Type:

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Key activities include:

• Performing independent validation of qualitative models across the firm, in line with the Citi Model Risk Management Policy and procedures. This includes:
  • Reviewing appropriateness of a qualitative Model versus alternative quantitative approaches
  • Analyzing the model design, and assumptions and challenging them to identify best solution
  • Investigating judgmental inputs used during forecasting and comparing with trends and industry standards
  • Assessing development approach and testing results for individual models provided by Model Sponsor
  • Evaluating model performance on ongoing basis
  • Writing high quality validation reports, highlighting risks and limitations of the model
  • Working with Model Sponsor to resolve model issues
• Collaborating with other teams within Risk and the Business regarding qualitative models to ensure compliance with our policies, procedures, and guidance
• Supporting the process of designing, developing, delivering and maintaining best-in-class qualitative model validation process standards, guidance, practices, templates and other documentation

Qualifications:

• Minimum Bachelor’s degree in Finance or Economics, or other quantitative discipline. Masters’ degree is preferable
• 2 years of experience / knowledge of Banking, Treasury, Finance or Risk management
• General understanding of modeling / forecasting
• Knowledge of time series analysis, statistics and econometrics
• Ability to formulate findings clearly and concisely in a written form and good verbal communication skills
• Good analytic, creative thinking and problem solving abilities
• Demonstrate excellent partnership and teamwork skills
• Adept and meticulous at analysis of data and documentation
• Ability to multi-task, work well under pressure and committed to deliver under tight deadlines
• Knowledge of financial markets and products would be a plus

What we offer:

• Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls
• Position with multiple development opportunities including internal promotion
• Opportunity to develop in multiple areas such as as financial forecasting, stress testing, modeling market risk, operational risk and credit risk
• Cooperation with a high quality, international, multicultural and global team
• 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
• Management supporting balanced and agile work (flexible working hours, home office)
• Attractive benefits package (Benefit System, medical care, pension plan etc.)
• A chance to make a difference with various affinity networks and charity initiatives

If you need more information please contact Piotr Buzala ( ).

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Responsibilities:

• Conduct comprehensive data exploration and validation, identifying and addressing data quality issues.

• Perform rigorous data analysis and mining, interpret findings, and generate formal statistical documentation and reports. Collaborate with Technology teams to resolve data-related challenges.

• Analyze data reports, provide insights, and formulate recommendations to meet evolving business needs.

• Develop and implement a variety of statistical models to enhance data acquisition, evaluation, and interpretation. Identify key data relationships, trends, and influencing factors.

• Evaluate multiple modeling methodologies and select the most appropriate approach for each model development project.

• Conduct thorough model testing, including sensitivity analysis and back-testing, to ensure robustness and accuracy.

• Lead annual model reviews, performance assessments, and model redevelopment initiatives as required.

• Produce comprehensive model documentation, including technical specifications and user guides, adhering to industry best practices.

• Effectively communicate complex model results to both technical and non-technical audiences through presentations and formal documentation.

• Foster strong working relationships with cross-functional teams, including country/region business stakeholders, model validation, governance, and implementation teams.

• Leverage critical thinking and quantitative skills to solve complex business problems in a fast-paced, collaborative environment.

• Prepare comprehensive responses to inquiries from regulators and internal audit regarding developed models.

• Validate model assumptions, proactively identify and escalate potential risks, and address sensitive areas within the methodology and development process.

• Adhering to internal policies and procedures.

• Exercising ethical judgment in personal behavior, conduct, and business practices.

• Proactively identifying, escalating, managing, and reporting control issues with transparency.

Qualifications:

• Master's degree in Econometrics, Statistics, Mathematics, Finance, or a related Applied Science field. CFA or FRM certification is a plus.

• 2+ years of experience in a quantitative role, preferably with experience in credit risk management.

• Proven experience in researching, developing, and implementing credit risk models, including technical and non-technical documentation.

• Strong programming skills in Python, R, or other object-oriented languages.

• Proficiency with statistical software packages and regression modeling techniques.

• Solid understanding of Accounting and Corporate Finance principles is highly desirable.

• Excellent verbal and written communication skills.

• Ability to prioritize effectively, make sound decisions, and meet deadlines in a fast-paced environment with competing demands.

• Self-motivated, detail-oriented, and possess strong organizational and project management skills, with the ability to manage multiple projects concurrently.

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

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

Time Type:

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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.

What you’ll do:

The role the team is filling would be responsible for leading the model development and implementation for a multitude of economic risk capital models covering risk stripes including trading and banking book portfolios, particularly covering wholesale credit risk, counterparty credit risk, and interest rate risk for banking book. The qualified candidate would maintain the existing risk capital models, review and enhance model methodologies, support business and production process, perform model performance assessment, improve model documents, and provide explanations to model output as the subject matter expert to business, model validator, and risk managers. The new team member would also help to maintain and improve the model implementation.

• Develop, implement, and test model methodology changes upon requests from model sponsor, model validators, or driven by self-identified model limitations. Identifies opportunities and advocate innovative idea for improving risk capital models in general.

• Manages model risk across the model life-cycle including model validation, ongoing performance evaluation, and annual model reviews. Assess and quantifies model risk due to model limitations and develop compensating controls.

• Monitor production process and identify key risk drivers. Produces analytics and develop tools for loss explanations.

• Develop analytic engines for model implementation, support production process, and respond to business ad hoc requests.

• Manages stakeholder interaction with model sponsor, model validators, and business owners.

What we’ll need from you:

• 3-5 years’ relevant experience in financial industry or equivalent research experience in hard science fields MSc or PhD required.

• Strong mathematical knowledge in statistics, econometrics, and other related quantitative fields – necessary.

• Solid understanding to risk metrics, quantitative finance, and risk management practice.

• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.

• Strong programming skills in Python, R or C++.

• Experience with database and SQL is preferable.

• Self-motivated and detail oriented

• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

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

Time Type:

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What you will be doing

• Perform detailed quantitative analyses aimed at identifying material model limitations
• Work with internal and external stakeholders on the validation findings and remediation actions
• Write validation documents that critically evaluate the model methodology, describe the performed analyses and present the model users with a clear overview of discovered weaknesses and associated compensating controls
• Provide guidance to less experienced colleagues to ensure quality validation work

What we need from you

• Proven track record of success in the model validation field
• Knowledge of financial instruments, risk estimation and pricing methodologies
• Ability to apply sophisticatedmathematical/analyticaltechniques to solve real-world problems
• Strong communication skills both verbal and written
• Working Python knowledge
• Ability to work independently
• Curiosity, diligence, and a healthy scepticism about received wisdom are all desirable
• Master’s degree or higher in a quantitative field (Mathematics, Financial Engineering, Statistics, etc.) with relevant coursework and experience

What we offer

• Competitive salary & social benefits (e.g. private healthcare care, multisport card, life insurance, pension plan)
• Unique opportunity to work in a global financial institution with state-of-the-art solutions and exciting quantitative modelling challenges
• Work in a friendly and diversified environment, appreciating differences in style and perspective
• A great environment for learning new technology and tools, online and instructor led training opportunities
• 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

Time Type:

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