Citi Group Credit Risk Model Overlays Specialist 

Poland, Masovian Voivodeship, Warsaw 

477532141

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.

About the role:

The focus of thisCredit Risk Model Overlays Specialistrole will be to support the Current Expected Credit Loss (“CECL” or Credit Allowance), the Comprehensive Capital Analysis and Review (“CCAR”), as well as the internal cost of credit planning processes, through calculation and application of necessary overlays to the raw model output, to compensate for known model limitations, or to account for risks not adequately addressed by the raw model output, like idiosyncratic events and portfolio dependencies to economic and political environment changes.

This position offers broad on the job learning experience and further development opportunities within Citi’s Risk organization.

What you’ll do:

• Execute on the decisions made around the needed overlays: compile data references as needed, ensuring appropriate data sources, articulate the calculation in a clear, repeatable way, document the deployed assumptions, and implement controls to preserve data and calculation integrity.
• Self-monitor the process output, by reviewing the result for relevance to the intended outcome and assessing it for reasonableness.
• Recommend alternate approaches and adjustments for any identified logical fallacies or assumptions not supposed by statistical evidence.
• Prepare PowerPoint decks for executive presentations of the results.
• Prepare overlay approval documents in accordance with the governance framework and the model risk management policy requirements.
• Facilitate the reporting of the approved overlays into the system, as per the process requirements (i.e. direct posting of the adjustment, offline hand off to risk reporting partners etc.) This includes the development of techniques for the allocation of the total overlay amount down to the necessary granularity; to this end, excellent knowledge of the CCAR and CECL data repositories has to be developed.
• Perform data analysis and reconciliations to monitor and track data quality and completeness of data.
• Provide project management support on regular periodic activities (e.g. consolidation of overlay documentation, timely communication in line with the governance framework requirements, collection of the necessary approvals etc.) and ad hoc activities (e.g. process and system automation initiatives, solutions development in response to regulatory requirements, etc.)
• Support the rest of the Wholesale Credit Allowance, Stress Testing and Risk Ratings Methodology Oversight Group, according to business needs and periodic priorities.

What we’ll need from you:

• Bachelor’s University Degree.
• Minimum 5 years of experience in the financial industry, and at least 2 years in the current role.
• Knowledge of running coding in R or Python and writing and editing technical documentation.
• Microsoft Office proficiency – particularly Excel (metrics and data analysis, ability to work with large datasets), PowerPoint (presentation decks), and Word (writing and editing procedural and technical documentation).
• Ability to interpret business requirements for the purpose of liaising with Technology Developers.
• Experience in Wholesale Stress Testing &/or Credit Reserve frameworks (IFRS/CECL) will be preferred. Alternatively, roles associated with portfolio risk data management or regulatory/executive reporting also qualify.
• Analytical skills with the ability to identify root causes and trends.
• Excellent writing and verbal communication skills; ability to communicate concisely and clearly.
• Strong time management skills with the ability to successfully accommodate competing priorities. Self-disciplined, able to work independently, take initiative and effectively handle their book of work with limited supervision.

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
• LifeInsurance 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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