Citi Group Data Scientist - IFRS9 Model Developer 

Poland, Masovian Voivodeship, Warsaw 

970256016

Responsibilities:

• Research, develop, and maintainIFRS9 wholesale expected credit lossand related models used for settingreserves for Citi and its subsidiaries.
• Work tokeep Citi’s Wholesale IFRS 9 models in line with international standards and with specific requirements for local reporting units, while aligning credit loss methodology with other wholesale credit loss models used for CECL, CCAR and ICAAP.
• Performongoing monitoring and testingof the IFRS9 expected credit loss models (e.g. sensitivity and back-testing). Lead annual model reviews and performance testing and/or redevelop as needed.
• Work with Finance and Risk teams worldwideto support local reporting and interactions with local auditors and regulators. Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
• Work with model validation and implementation teamson the ongoing basis
• Deliver comprehensive technical and non-technical model documentation
• Actively engage across all model development teams within CORA, including those developing PD/LGD/EAD models, and Credit Loss/Stress Testing models.
• Apply critical thinking in solving complex business problems with quantitative tools in a collaborative, fast-paced environment.

Qualifications:

• Masters in Econometrics, Statistics, Math, Finance, Economics, or an Applied Science. CFA or FRM is a plus.
• 5+ years of experience in quantitative area, experience in credit risk management area, especially IFRS9/CECL credit reserves calculation or expected credit loss stress testing, is a plus.
• Hands-on experience with the research, development, and implementation of credit risk models, including technical and non-technical documentation.
• Strong programming skills in Python, R, or other objected oriented languages. Familiarity with statistics packages and regression models.
• Working knowledge of Accounting and Corporate Finance relevant to banking industry is a significant plus.
• Excellent communication skills, verbal as well as written.
• Ability to make decisions / balance aggressive timelines for deliverables amidst conflicting priorities.

We offer:

• Opportunity to work in an international, multi-cultural environment.
• Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies.
• Access to the latest technologies and tools.
• Opportunity to learn through participation in various projects and cross training.
• Attractive conditions of employment and benefits.
• High exposure coming from direct cooperation with senior management.

Time Type:

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