Citi Group Risk Modeling Analyzing Group Manager 

Poland, Masovian Voivodeship, Warsaw 

273846823

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

Time Type:

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