Stress Testing and Model Risk Expert

The successful candidate will join the Model Support Services (MSS) team in Warsaw. The mandate of the MSS team is to provide risk analytics and model governance services to Risk Management and other partners across various Citi Legal Entities, spanning Citi’s global footprint.

The services that the team provides relate to internal and external stress testing exercises (such as ICAAPs and regulatory-driven industry wide stress testing exercises) for c. 50 legal entities, and currently focused on Wholesale Credit Risk. These services ensure that legal entities are supported with all quantitative requirements for their ICAAP/stress testing submissions, in particular for scenario design and selection, and model results applicability for both stress testing and economic capital (Pillar 2). The team is currently expanding its remit, with plans to extend services across core risk stripes and achieve consistency in services provided to each legal entity in scope. The successful candidate will join the team at an exciting time, having the opportunity to help shape these expanding services. ​

The MSS team sits within the Data, Analytics, Reporting and Technology (DART) structure in Risk and is equipped to leverage the innovative tools and infrastructure developed in-house by DART. DART has a core base in Warsaw and many of MSS team's key stakeholders are co-located, fostering networking and professional growth.

Responsibilities:

• Providing quantitative tools and analysis and designing appropriate management summaries to support Risk Management in their interpretation of scenario impacts and model results. 

• Ensuring that all models supported by the team are compliant with internal model risk management policies, and that model lifecycle activities are timed in line with dates committed both internally and externally to regulators.

• Supporting legal entities to assess model fit-for-purpose for local use cases, including assessment of model assumptions and limitations, and their appropriateness for legal entity portfolios.

• Interfacing between legal entities and central model development teams to challenge model methodologies proposed by developers, and ensure models meet legal entity-specific requirements.

• Where models do not meet local requirements, proposing and implementing adjustments / overlays to global methodologies, in line with internal model risk management policies.

• Additional support for regulatory exercises with higher focus, such as regulatory-prescribed stress testing.

Skills and experience:

• Excellent academic background, with degree (preferably Masters) in a quantitative discipline, such as statistics, mathematics, economics, finance or sciences.

• Solid experience in financial services sector, ideally risk management, in roles requiring expert problem-solving and analytical capabilities (experience in ICAAP/stress testing is highly desirable, experience in one or more risk stripes strongly preferred)

• Excellent data analysis skills, with experience in one or more programming languages (Python an advantage), and ability to quickly identify key messages from large datasets

• Excellent writing and presentational skills, with the ability to synthesise complex concepts and translate for a non-expert audience

• Demonstrated organisational skills and mindset to handle multiple deliverables at once in a logical and considered way.

• Highly motivated and curious, with ability to work collaboratively and build relationships at various levels of an organisation.

In return, we offer:

• Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance)

• Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

• A great environment for learning new technology and tools, online and instructor led training opportunities

• Working in a friendly, dynamic and multinational environment

• Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas

• A chance to make a difference with various affinity networks and charity initiatives

#LI-KT1

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