Citi Group Stress Testing Model Developer 

Poland, Masovian Voivodeship, Warsaw 

656777664

is to provideModel Sponsor support activitiesassumptions, develop models and support CRO in assessing stress testing results.

contribute toanalytical tools that are developed forCGML’s ICAAP, as well as provide the analytical support required by the size and complexity of Citi’s UK legal entities.This includes thedevelopment of new modelsthey are fit-for-purpose at the legal entitylevel whenglobal solutions are not availables that havedeveloped models for ICAAP (mainly counterpartycredit risk)and willbe expected to conceptuallythe design ofmodelling enhancements, as well as perform hands-on model development

Responsibilities:

• Ensure thatall models developed by the team are compliant with the Citi Model Risk Management Policy and thatallsubsequentlifecycle activities(e.g.limitation remediation and ongoing performance analysis) arecompletedwithin timelines setupbyCiti Model Validation team

• Perform hands-on model developmentwhen new models aredeemednecessary.Createsynergieswhen developing new models to consider requirements acrossall MLE teams

• Contribute toactivitiesrequiredto enhance the models developed for theCGML ICAAP

• Work closely with Global development groups to ensurethat already developed methodologies are utilised to the maximumwhen developing a new model

• Play the role of model developer e.g. write code in Pythonandsubmitdocumentation to Citi Model Risk Management,whenmodel enhancementsfor Global models aredeemednecessary and Global teamsdo not have thecapacitytosupport

Qualifications

• Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics,sciencesor engineering

Experience and Skills

• + years ofexperience in financial services sector, in roles requiring superior problem-solving analytical capabilities(in the context of ICAAP is highly desirable)

• Experience inmodel development isprerequisite;experience inMarketRiskmodellinge.g.VaRand Monte Carlo Simulationand/orexperience in Counterparty Credit Risk e.g. CVA, exposure profile modellingarestrongly preferred

• Very goodprogramming skillsin at least one programming language, Python most preferably

• Familiarity withPRAregulatory guidance around financial stress testing principlesand methodologies, are strongly preferred

• Demonstrated organizational skills and capability to handle multiple projects at one timeandability to build relationships confidently at all levels;

• Expertin topics related to ModelDevelopmentLifecycleandModel Risk Management;

Personal Traits

• Highly 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

• Giving careful attention to detail, whilst also considering bigger picture and wider implications

• Capable of delivering high quality results, with challenging but positive influencing style

Valuing Diversity:an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success