Risk Capital - Model Developer - VP, Citi

Risk Capital - Model Developer - VP

Citi

Location:

Poland, Warsaw

Category:

Finance

Contract Type:

Not provided

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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