ICAAP Model Governance Lead Analyst, Citi

Citi

Location:
Hungary, Budapest

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

You will be joining the Central ICAAP and Stress testing Production Team within the Finance Department that leads the way in setting the ICAAP framework and standards by enhancing existing processes and controls, encouraging automation, and establishing best practice modelling. The mission of the Team is to ensure that Citi maintains a robust capital structure that meets regulatory requirements while effectively managing risks. The team is dedicated to providing high-quality, timely and accurate Capital Forecasts and stress RWA (Risk Weighted Asset) forecast calculations that guide strategic decision-making and enhance Citi's resilience to adverse economic scenarios across Europe, UK, the Middle East and Africa.

Job Responsibility:

Collaborate across a variety of functions within Finance and Risk, to support the ICAAP production of 25+ Legal Entities in model related areas
Provide governance for ICAAP financial forecast models in respect of Model Risk Management (MRM) requirements, to ensure that the models are available for use in the ICAAP submission
Prepare financial forecast models for validation, including Initial or Re-Validation, Annual Model Review, Ongoing Performance Assessment, Model Change Reviews, and remediation of Limitations
Responsible for model documentation, development testing (sensitivity and impact analysis, backtesting, quantitative justification of modelling choice, justification of model performance) and defending the model in Validation Monitor the deadlines of model events, engage with stakeholders in a timely manner, and keep the team informed to allow planning and allocating resources appropriately
Identify areas for new model development and process automation. Support model development, standardization of approaches and best practice modelling

Requirements:

Master’s degree in quantitative Finance or other quantitative area
7+ years of work experience in a multinational organization
Understanding of capital, capital buffers and a bank’s balance sheet
Experience with ICAAP and stress testing
Experience in model development, model validation or model audit
Analytical mindset, structured approach to problem solving, strong communication, good attention to details
Good interpersonal skills, ability to manage stakeholders, ability to work under time pressure (occasionally)
Fluency in English with good communicational skills
Ability to work independently, proactivity

What we offer:

Cafeteria Program
Home Office Allowance (for colleagues working in hybrid work models)
Paid Parental Leave Program (maternity and paternity leave)
Private Medical Care Program and onsite medical rooms at our offices
Pension Plan Contribution to voluntary pension fund
Group Life Insurance
Employee Assistance Program
Access to a wide variety of learning and development programs, online course libraries and upskilling platforms, such as Udemy and Degreed
Flexible work arrangements to support you in managing work - life balance
Career progression opportunities across geographies and business lines
Socially active employee communities with diverse networking opportunities

Additional Information:

Job Posted:
May 09, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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ICAAP Model Governance Lead Analyst