Wholesale Credit Reserves Model Developer, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Credit, Climate and Obligor Risk Analytics (CORA) is the leading risk modelling and data analytics team in Citi. We use mathematical modelling and the latest technologies to calculate risk for the largest portfolios in Citi. Our models and analytics ensure that the bank has adequate capital during crisis. We are a diverse group of professionals with backgrounds in physics, engineering, finance, economics, and data science. You will work alongside experienced colleagues to further develop your analytical and quantitative skills. Your responsibilities will include building models and analytical applications to tackle real-world challenges, paving the way for a career as a risk management expert and leader. As a successful Candidate you will be a part of Loss Forecasting Analytics Team, which is responsible for statistical models used in reserves calculation (IFRS9 & CECL) and stress testing (ICAAP, CECL and others). The role offers a huge development opportunity and exposition to local and global initiatives.

Job Responsibility:

Research, develop, and test wholesale expected credit loss (ECL) models in line with the IFRS9 standard and regulatory requirements from multiple jurisdictions in which Citi operates
Lead annual model reviews, performance assessments, and model redevelopment initiatives as required
Implement credit loss models in Python for model execution, testing, and analytical tools
Cooperate with technology partners in production implementation of the model
Prepare detailed quantitative modelling and analysis for risk managers and senior management
Synthesize and communicate complex risk models and results to both technical and non-technical audiences through presentations and formal documentation
Conduct statistical analysis, quantitative modelling, and model risk controls
Work with risk managers, businesses, and technology to design and build models for risk capture and stress testing
Produce comprehensive model documentation, including technical specifications and user guides, adhering to industry best practices
Foster strong working relationships with cross-functional teams, including country/region business stakeholders, model validation, governance, and implementation teams
Leverage critical thinking and quantitative skills to solve complex business problems in a fast-paced, collaborative environment
Prepare comprehensive responses to inquiries from regulators and internal audit regarding developed models
Validate model assumptions, proactively identify and escalate potential risks, and address sensitive areas within the methodology and development process

Requirements:

Master degree from a quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics, Finance, etc.) is required
2+ years of experience in quantitative financial modelling
Hands-on experience with the research, development, and implementation of financial models
Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems
Knowledge of wholesale credit products and financial markets at a financial institution is preferred
Good knowledge of credit reserves calculation in line with IFRS9/CECL, bank stress testing in line with ICAAP/CCAR or PD/LGD/EAD modelling is a plus
Familiar with statistics packages and regression models
Strong programming skills in Python. Good knowledge of Linux is a plus
Excellent communication skills, verbal as well as written
Ability to prioritize effectively, make sound decisions, and meet deadlines in a fast-paced environment with competing demands
Self-motivated, detail-oriented, and possess strong organizational and project management skills, with the ability to manage multiple projects concurrently

Nice to have:

Knowledge of wholesale credit products and financial markets at a financial institution
Good knowledge of credit reserves calculation in line with IFRS9/CECL, bank stress testing in line with ICAAP/CCAR or PD/LGD/EAD modelling
Good knowledge of Linux

What we offer:

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

Additional Information:

Job Posted:
May 14, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Wholesale Credit Reserves Model Developer