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Risk Capital - Model Developer - VP

https://www.citi.com/ Logo

Citi

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Location:
Poland , Warsaw

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Category:
Finance

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Contract Type:
Not provided

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Salary:

Not provided
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Job Description:

The role involves leading the model development and implementation for economic risk capital models, maintaining existing models, and supporting business processes. The candidate will work within Citi’s Data Analytics Risk Technology (DART) organization, focusing on risk management and model implementation.

Job Responsibility:

  • Lead the model development and implementation for economic risk capital models
  • Maintain existing risk capital models for banking book interest rate and FX risks
  • Review and improve model methodologies
  • Support business and production process
  • Perform periodic model performance monitoring
  • Review and maintain model documents
  • Provide explanations to model output
  • Develop, implement, and test model methodology changes
  • Manage model risk across the model life-cycle
  • Monitor production process and identify key risk drivers
  • Develop analytic engines for model implementation in production
  • Manage stakeholder interaction with model sponsor, model validators, and business owners

Requirements:

  • 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
  • Solid understanding of 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

Nice to have:

  • Experience with database and SQL
  • Demonstrated project management and organizational skills
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:
March 21, 2025

Employment Type:
Fulltime
Work Type:
Hybrid work
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