Risk - Stress Testing Quantitative Analyst - Officer

The successful candidate will join the Legal Entity Quantitative Risk Support (LE QR Support) team in Warsaw or London. The mandate of the LE QR support is to provide risk analytics support, as well as model governance services to Risk Management and other partners in Citi  focusing on UK Legal Entities. The team provides services such as

  • Ensuring material risks are well captured and quantified, and drivers of stress losses and/or capital add-ons are well explained

  • Calculating the impact of model overlays required, as well as ensuring they are compliant with the Citi Model Risk Management Policy

  • Project Manage the implementation of new models to be used for the quantification of Pillar 2A and Pillar 2B within the ICAAP

  • Design and document requirements for model enhancements for models to be used for trading book/banking book stress testing for UK entities

Responsibilities:

The role will be engaged in complex, strategic activities across multiple projects and workstreams to enhance end-to-end ICAAP stress testing processes. This spans a wide range of ICAAP related activities including scenario design, stress loss calculations, and economic capital and is global in scope, encompassing stakeholders across Risk, Finance and Model Development teams. The role will be located in Warsaw and report into the LE QR Support team, under the Model Governance organization.

The LE QR Support team will cover ongoing enhancements including:

  • Assist in  the development and implementation of a framework required for Legal Entities to streamline and optimize ICAAP usage of centrally developed models (for example stress loss and economic risk capital, IMM/IMA models) and ensure that each usage is compliant with the Citi Model Risk Management Policy

  • ICAAP governance enhancements to ensure legal vehicle compliance with the firm’s enterprise stress testing framework, model risk management, and capital planning policies and standards

  • Presentation materials to senior stakeholders across EMEA, APAC, and LATAM senior management, global franchise management, and senior risk committees

  • Model execution and process enhancement, MI design and development for existing models used within the ICAAP

Development Value:

The successful candidate will have the opportunity to work on a wide range of analytical and strategic topics relevant for senior management and regulatory bodies. They will interact confidently with quantitative analysts and risk management professionals across multiple risk stripes and geographies, and in doing so, gain an expansive view of the firm.

Requirements:

  • Bachelor’s degree (preferably Masters) in Mathematics, or another field with analytical focus (Finance, Engineering, Computer Science, etc.) is required

  • prior experience in financial services sector, in roles requiring superior problem-solving analytical capabilities. Experience in areas such as Model Risk management and/or risk analytics is highly desirable, some experience in Market Risk is desirable

  • Some knowledge in topics such as Model Risk Management and Model Lifecycle is preferred

  • Strong analytical skills and working knowledge of Stress Testing (e.g. Pillar II modelling) and market risk, with ability to understand technical concepts

  • Exceptional data analysis skills, with the ability to quickly manipulate large data sets and identify key trends relevant to big picture

  • Exceptional writing and PPT skills, with the ability to synthesize complex concepts and translate into effective presentations to senior audiences

  • Strong project management skills, with ability to build relationships confidently at all levels

  • Highly motivated, with ability to work both independently and collaboratively

We offer:

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls
  • Cooperation with a high quality, international, multicultural and global team
  • 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
  • Management supporting balanced and agile work (flexible working hours, home office)
  • Attractive benefits package (Benefit System, medical care, pension plan etc.)
  • A chance to make a difference with various affinity networks and charity initiatives

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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