Citi Group Risk Capital - Model Developer VP 

Poland, Masovian Voivodeship, Warsaw 

825601341

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.

What you’ll do:

The role the team is filling would be responsible for leading the model development and implementation for a multitude of economic risk capital models covering risk stripes including trading and banking book portfolios, but initially is expected to cover the models for banking book Interest Rate and Foreign Exchange (FX) risks. The qualified candidate would maintain the existing risk capital models for banking book interest rate and FX risks, review and improve model methodologies, to support business and production process, perform periodic model performance monitoring, review and maintain model documents, and provide explanations to model output as the subject matter expert to business, model validator, and risk managers. The new team member would also maintain the model implementation.

• Develop, implement, and test model methodology changes upon requests from model sponsor, model validators, or driven by self-identified model limitations. Identifies opportunities and advocate innovative idea for improving risk capital models in general.
• Manages model risk across the model life-cycle including model validation, ongoing performance evaluation, and annual model reviews. Assess and quantifies model risk due to model limitations and develop compensating controls.
• Monitor production process and identify key risk drivers. Produces analytics and develop tools for loss explanations.
• Develop analytic engines for model implementation in production, support production process, and business ad hoc requests.
• Manages stakeholder interaction with model sponsor, model validators, and business owners.

What we’ll need from you:

• 3-5 years’ relevant experience in financial industry or equivalent research experience in hard science fields MSc or PhD required.
• Strong mathematical knowledge in statistics, stochastic analysis, and other related quantitative fields – necessary.
• Solid understanding to risk metrics, quantitative finance, and risk management practice.
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
• Strong programming skills in Python or C++.
• Experience with database and SQL is preferable.
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

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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