Wholesale Credit Loss Modelling – Quantitative Analyst – VP

Job title:

Wholesale Credit Loss Modelling – Quantitative Analyst – VP

Company:

Citigroup

Job description

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in quantitative financial modelling.By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.The Wholesale Credit and Climate Risk (CORA) group within Citi Risk Data Analytics Reporting and Technology (DART) is looking to add an experienced Quantitative Analyst at Vice President level to join the Loss Forecasting Analytics (LFA) team in Warsaw, Poland. The team is responsible for development of the Credit Loss and Stress-Testing Models for Citi’s Wholesale Credit Portfolios.This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support the risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and lead all aspects of the model development life cycle, which includes interaction with Senior Risk, Finance, Model Validation, and Business Managers, Internal Auditors and Regulators.What you’ll do:

• Research, develop, and maintain wholesale credit loss models used for regulatory stress testing, with focus on ICAAP and EBA stress testing
• Support wholesale credit loss model development for firm’s global stress testing framework, including CCAR, climate and internal stress testing
• Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions
• Provide analytical support to country/regional risk management teams; Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
• Actively engage across all model development teams with WCCR, including PD/LGD/EAD models, and CECL/IFRS9 models.​

What we’ll need from you:

• Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required.
• Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required
• 3+ years of experience in quantitative financial modelling. Wholesale credit risk experience is preferred.
• Good knowledge of bank stress testing in wholesale credit portfolios.
• Experience in CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modelling, or CECL/IFRS9 calculation is a plus.
• Familiar with statistics packages and regression models.
• Strong programming skills in Python, R, C++, or other objected oriented languages.
• Excellent communication skills, verbal as well as written.
• Fluency in speaking, reading, and writing English is required.

What we can offer you: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.Job Family Group: Risk ManagementJob Family: Risk Analytics, Modeling, and ValidationTime Type: Full timeCiti is an equal opportunity and affirmative action employer.Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.Citigroup Inc. and its subsidiaries (“Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .View the ” ” poster. View the .View the .View the

Expected salary

Location

Warszawa, mazowieckie

Job date

Sat, 24 Aug 2024 00:35:35 GMT

To help us track our recruitment effort, please indicate in your email/cover letter where (vacanciesineu.com) you saw this job posting.