Risk Capital - Model Developer - VP

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in quantitative analysis, coding, problem solving and communication to Citi’s Risk Capital Model Development Team. Risk Capital is a firm-wide metric to access the economic risk at the consolidated and legal entities levels. It is a key capital adequacy metric for Citigroup and its legal entities worldwide and is used in all risk areas for monitoring the firm’s risk footprint across different business, products, and regions.

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

Team/Role Overview:                                                                                                                                   

You are joining a team consisting of experienced quantitative risk model developers and professional programmers for model implementation. The team is within Citi’s Data Analytics Risk Technology (DART) organization responsible for the group’s all analytics and technology support for risk management and is specialized for developing and maintaining all economic risk capital models ranging from trading book, banking book, to retail portfolios. The team provides expertise for both developing model methodologies and model implementations.

What you’ll do:                                                                                                                                      

The role the team is filling would be responsible for leading the model development and implementation for a multitude of economic risk capital models covering risk stripes including trading and banking book portfolios, but initially is expected to cover the models for banking book Interest Rate and Foreign Exchange (FX) risks.  The qualified candidate would maintain the existing risk capital models for banking book interest rate and FX risks, review and improve model methodologies, to support business and production process, perform periodic model performance monitoring, review and maintain model documents, and provide explanations to model output as the subject matter expert to business, model validator, and risk managers. The new team member would also maintain the model implementation.

• Develop, implement, and test model methodology changes upon requests from model sponsor, model validators, or driven by self-identified model limitations. Identifies opportunities and advocate innovative idea for improving risk capital models in general.
• Manages model risk across the model life-cycle including model validation, ongoing performance evaluation, and annual model reviews. Assess and quantifies model risk due to model limitations and develop compensating controls.
• Monitor production process and identify key risk drivers. Produces analytics and develop tools for loss explanations.
• Develop analytic engines for model implementation in production, support production process, and business ad hoc requests.
• Manages stakeholder interaction with model sponsor, model validators, and business owners.

What we’ll need from you:

• 3-5 years’ relevant experience in financial industry or equivalent research experience in hard science fields MSc or PhD required.
• Strong mathematical knowledge in statistics, stochastic analysis, and other related quantitative fields – necessary.
• Solid understanding to risk metrics, quantitative finance, and risk management practice.
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
• Strong programming skills in Python or C++.
• Experience with database and SQL is preferable.
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

What we can offer you:                                                                                                                                      

The successful candidate would have a chance to be exposed to industry lead methodologies for monitoring, measuring, and predicting risks across a wide range of disciplines including market risk, counterparty credit risk, stress loss and risk capital calculations, and how models are implemented and used in the real-world environment.

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

------------------------------------------------------

Job Family Group:

------------------------------------------------------

Job Family:

------------------------------------------------------

Time Type:

------------------------------------------------------

Citi is an equal opportunity and affirmative action employer.

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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting