Citi Group ICAAP Model Development Lead 

Hungary 

837387899

By joining Citi, you will become part of a global organization whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

You will be joining the Central ICAAP and Stress Testing Production Team within the Finance Department that leads the way in setting the ICAAP framework and standards by enhancing existing processes and controls, encouraging automation, and establishing best practice modelling.

What you’ll do

• Lead the development of new ICAAP related models, specifically:

  • Design the methodology in cooperation with stakeholders in Risk and Finance,

  • Specify the technical details in a Business Requirement Document,

  • Work together with Technology on the technical implementation of the model,

  • Design and conclude User Acceptance Testing,

  • Run development tests, create model documentation, prepare the model for validation,

  • Defend the model in validation.

• Maintain the models after going live:

  • Support the production for ICAAP and stress testing,

  • Prepare the models for regular and ad-hoc validation exercises, like re-validation, annual model review, ongoing performance assessment, model change reviews and limitation remediation.

• Identify new areas for model development and process automation.

• Establish standardized approaches and best practice modelling.

The ideal candidate for this position possesses the following qualifications and skills:

• 10+ years of work experience in a model development or validation role within a financial institution.

• Understanding of capital, capital buffers and a bank’s balance sheet, as well ICAAP and stress testing would be useful.

• Leading multinational projects or teams related to regulatory engagements.

• Experience with time series forecasting.

• Programming experience in any of the following languages would be useful: Python, R, VBA, KNIME, to create dummy model implementations for preliminary testing or to make modifications in existing codes.

• Structured approach to problem solving, strong communication.

• Good interpersonal skills, ability to manage stakeholders.

• Ability to work independently, proactivity.

• CCR and/or FRTB experience is a big plus

You will deliver international solutions to seniors and will gain global exposure.

By joining Citi Hungary, 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 compensation package and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well:

• Cafeteria Program

• Home Office Allowance (for colleagues working in hybrid work models)

• Paid Parental Leave Program (maternity and paternity leave)

• Private Medical Care Program and onsite medical rooms at our offices

• Pension Plan Contribution to voluntary pension fund

• Group Life Insurance

• Employee Assistance Program

• Access to a wide variety of learning and development programs, online course libraries and upskilling platforms, such as Udemy and Degreed

• Flexible work arrangements to support you in managing work - life balance

• Career progression opportunities across geographies and business lines

• Socially active employee communities with diverse networking opportunities

Time Type:

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