Stress Testing Model Development Lead - SVP

The successful candidate will join the Material Legal Entity (MLE) Stress Testing team within the Enterprise Risk Management (ERM) Organisation. The mandate of the team is to provide Model Sponsor support activities, define methodology assumptions, develop models and support CRO in assessing stress testing results.  

The successful candidate for this role will have the mandate to oversee analytical tools that are developed and/or used for ICAAP-related stress testing exercises, as well as provide the analytical support required by the size and complexity of Citi’s UK largest legal entity. This includes the development of new models that are fit-for-purpose at the legal entity level when new global solutions are not available. The successful candidate will be part of a team of model quants that have developed models for ICAAP (mainly counterparty credit risk) and will be expected to conceptually lead the design of modelling enhancements, as well as perform hands-on model development.   

The candidate will need to become highly conversant in technical aspects of models in order to oversee their local usage and to explain key model mechanics and methodology to a non-technical audience, which may include portfolio risk managers, senior management/committees, regulators, and/or auditors. The role will provide broad exposure to Citi’s businesses across the region and develop expertise spanning multiple risk stripes as the candidate will also be expected to understand the key local requirements and critically assess the level of analytical support needed to adequately capture these risks.

What you’ll do:

• Ensure that all models developed by the team are compliant with the Citi Model Risk Management Policy and that all subsequent lifecycle activities (e.g. limitation remediation and ongoing performance analysis) are completed within timelines set up by Citi Model Validation team.

• Perform hands-on model development when new models are deemed necessary. Create synergies when developing new models to consider requirements across all MLE teams.

• Responsible for creating and maintaining the team’s book of work (BoW) incorporating model development activities required for the CGML ICAAP and the associated timelines.

• Lead the activities required to enhance the models developed for the CML ICAAP e.g. lead junior team members and liaise with other Citi partners such as Technology.

• Work closely with Global development groups to ensure that already developed methodologies are utilised to the maximum when developing a new model.

• Play the role of model developer e.g. write code in Python and submit documentation to Citi Model Risk Management, when model enhancements for Global models are deemed necessary and Global teams do not have the capacity to support ICAAP tight timelines.

What we’ll need from you:

• Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.

• 7+ years of experience in financial services sector, in roles requiring superior problem-solving analytical capabilities (in the context of ICAAP is highly desirable).

• Experience in model development is prerequisite; experience in Market Risk modelling e.g. VaR and Monte Carlo Simulation and/or experience in Counterparty Credit Risk e.g. CVA, exposure profile modelling are strongly preferred.

• Good programming skills in at least one programming language, Python most preferably.

• Familiarity with PRA regulatory guidance around financial stress testing principles and methodologies (TWD knowledge is a plus), are strongly preferred.

• Demonstrated project management and organizational skills and capability to handle multiple projects at one time and ability to build relationships confidently at all levels.

• Expert in topics related to Model Development Lifecycle and Model Risk Management.

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

• Logical and thoughtful approach to work, with ability to perform well under pressure and meet tight deadlines.

• Giving careful attention to detail, whilst also considering bigger picture and wider implications.

• Capable of delivering high quality results, with challenging but positive influencing style.

What we can offer you:

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.

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

#LI-TM3

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