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
Risk Management
Job Family
Risk Analytics, Modeling, and Validation
Time Type
Full time
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