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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
Time Type:
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