Stress Testing Model Developer, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

The successful candidate will join the Material Legal Entity (MLE) Stress Testing team within the Enterprise Risk Management (ERM) Organization. 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. This includes the development of new models that they are fit-for-purpose at the legal entity level when global solutions are not available. The successful candidate will contribute to the design, implementation, and ongoing monitoring/enhancement of models developed for the CGML legal entity and ICAAP exercises.

Job Responsibility:

Analyse ICAAP results and provide commentary of the key drivers, as well as prepare decks for senior committees where ICAAP results are discussed and approved
play the role of model developer e.g. write code in Python and submit documentation with testing to Citi Model Risk Management, when model enhancements for Global models are deemed necessary, or a new model is required
contribute to activities required to enhance the models developed for the CGML ICAAP i.e. liaise with Model Sponsor and Reporting teams to analyse data and modelling assumptions
design, implement and monitor ICAAP controls, as well as automate data controls in Python, for the models used in the CGML ICAAP
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

Requirements:

Excellent academic background, including advanced degree (e.g., PhD/Master) in quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering
5+ 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 strongly preferred e.g. 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
very good programming skills in at least one programming language, Python most preferably
familiarity with PRA regulatory guidance around financial stress testing principles and methodologies, is strongly preferred
demonstrated 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 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:
October 14, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Stress Testing Model Developer