Citi Group Stress Testing Quantitative Analyst - VP 

United Kingdom, England, London 

372077146

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.

This role will contribute to oversee analytical tools/models that are developed for CGML’s ICAAP exercise, as well as provide the analytical support required by the size and complexity of the CGML legal entity. This includes the development of new models that they are fit-for-purpose at the legal entity level when global solutions are not available.

What you’ll do:

• Analyse ICAAP results and provide commentary of the key drivers, as well as prepare decks for senior committees where ICAAP results are discussed and approved.
• Play the role of model developer e.g. write code in Python and submit documentation with testing to Citi Model Risk Management, when model enhancements for Global models are deemed necessary, or a new model is required.
• Contribute to activities required to enhance the models developed for the CGML ICAAP i.e. liaise with Model Sponsor and Reporting teams to analyse data and modelling assumptions.
• Design, implement and monitor ICAAP controls, as well as automate data controls in Python, for the models used in the CGML ICAAP.
• Ensure that all models developed by the team are compliant with the Citi Model Risk Management Policy and that all subsequent lifecycle activities (e.g. limitation remediation and ongoing performance analysis) are completed within timelines set up by Citi Model Validation team.

What we’ll need from you:

• Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.
• Solid experience in financial services sector, in roles requiring excellent problem-solving analytical capabilities (in the context of ICAAP is highly desirable).
• Experience in model development is strongly preferred e.g. experience in Market Risk modelling e.g. VaR and Monte Carlo Simulation and/or experience in Counterparty Credit Risk e.g. CVA, exposure profile modelling.
• Very good programming skills in at least one programming language, Python most preferably.
• Familiarity with PRA regulatory guidance around financial stress testing principles and methodologies, is strongly preferred.
• Organisational skills and capability to handle multiple projects at one time and ability to build relationships confidently at all levels.
• Good knowledge in topics related to Model Development Lifecycle and Model Risk Management.
• Motivated, with ability to work both independently and collaboratively.
• Logical and thoughtful approach to work, with ability to perform well under pressure and meet tight deadlines.
• Ability to deliver high quality results, with challenging but positive influencing style.

What can we offer you:

By joining Citi London, 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:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
• A discretional annual performance related bonus
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Program
• Pension Plan
• Paid Parental Leave
• Special discounts for employees, family, and friends
• Access to an array of learning and development resources

Time Type:

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