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Citi Group Risk Modeling Analyzing Group Manager 
Poland, Masovian Voivodeship, Warsaw 
273846823

03.09.2024

Responsibilities:

  • Research, develop, and maintain wholesale credit loss models used for regulatory stress testing and credit loss reserves, including CCAR/DFAST stress testing, CECL credit reserves, and internal stress testing

  • Implement models and model testing and monitoring software within the evolving and expanding Wholesale Forecast library Python codebase

  • Develop priorities for model development and related activities of the Team through engagement with partners in Risk and Product units

  • Enhance the application of analytics within the Risk organization particularly in portfolio stress testing for internal and regulatory purposes

  • Engage with Model Risk Management leadership to ensure that model development and documentation practices meet MRM guidelines

  • Support business, finance, risk managers, fundamental credit risk, internal audit, and banking supervisors for stress testing related discussions

  • Actively engage across teams within CORA developing all wholesale credit risk models, including PD/LGD/EAD models, credit risk rating models, and ICAAP and IFRS 9 models

Qualifications:

  • Master’s or Ph.D. degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required.

  • 5+ years of experience in quantitative financial modeling

  • Hands-on experience in the financial industry, with good track record of successfully mentoring talent and working with diverse stakeholders

  • Demonstrated knowledge of credit risk, credit products, and related regulatory rules. Experience in CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 is preferred

  • Familiar with statistics packages and regression models

  • Strong programming skills in Python, R, C++ or other languages used for data analysis and quantitative modeling

  • Excellent communication skills, verbal as well as written. Fluency in speaking, reading, and writing English is required.

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

Risk ManagementRisk Analytics, Modeling, and Validation


Time Type:

Full time

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