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Citi & Citi Handlowy
Citi & Citi Handlowy
location iconLocations: Warszawa
level iconLevel: specialist
Citi is more than a global financial services company. It's an engine for progress. We serve 200 million customers in more than 160 countries, providing support to individual, corporate, government and institutional clients. Our clients choose us for a global footprint, market positon, in-country relationships and the full range of solutions on offer. In Poland we operate within two legal entities Citibank Europe plc and Bank Handlowy w Warszawie S.A.
QRS Analytics Consulting Team - Poland Lead - SVP
Work place: Warszawa

About Quantitative Risk and Stress Testing

The Quantitative Risk and Stress Testing (QRS) group’s mandate is to develop, maintain, and enhance credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; and to support Basel, internal and external stress testing, and loan loss reserve processes. Additionally, the group reviews and approves credit risk rating processes and analyses rating performance across Citi’s portfolios. QRS comprises more than 250 quantitative risk analysts and other professionals located in nine cities and six countries, and is responsible for over 200 risk models used within Citi.

About this Role

The Warsaw based Senior Vice-president – Analytics Consulting Team (ACT), is the lead of a regional branch of a global quantitative model development team spanning North America and Europe, to address regulatory matters that require quantitative skills to remediate.

This role reports to the head of the New York based head of the ACT team, within Quantitative Risk and Stress Testing (QRS), and leads a Warsaw based 5 person team whose primary purpose is to create, validate, test, document, implement, and/or oversee usage of complex statistical models. The models may cover a variety of products or services, however, all models are used as part of the financial decision-making process. Specific results focus on documenting the creation and/or testing of advanced statistical models and communicating such models to stakeholders within the Bank. The SVP is responsible for oversight of a team whose deliverables include the creation of model development and/or validation documentation such as: presentations, written reports, model or reporting code documentation, business requirements, monitoring reports and related code, and procedures. The role is highly technical and also requires the ability to articulate complex concepts in a straight forward manner.

The SVP will support the regulatory remediation process for the full life cycle requested by QRS and other Citi stakeholders, by which the ACT team might be engaged

The SVP may also provide direct support in conducting model validations or periodic reviews based on availability or project urgency. This position requires regular interaction with senior internal clients within Citi.

This role will require the candidate to travel to different Citi locations around the globe for extensive periods of time, dependent on the regulatory needs and nature of projects.

Responsibilities :

  • Development, validation, and review of complex models or financial structures
  • Optimization, Monte Carlo analysis, Scenario design and generation
  • Data manipulation with a variety of programming languages
  • Writing model documentation related to regulatory requirements
  • Interfacing with and providing advice to senior leaders within Citi
  • Supporting development of risk management topics: BASEL, CCAR, CECL, IFRS9, ICAAP, FRTB, DSFT, FXPB and others
  • Working on other ongoing practice support and development contributions
  • Willingness to travel to work with clients and QRS teams. The amount of travel will depend on regulatory needs and nature of projects

Qualifications :

  • 8+ years of experience in risk modeling, optimization, statistics, quantitative finance, quantitative financial research, methodology or model development and validation with a top tier consulting firm, bank, fund, or wealth management firm
  • Proven team leadership track record managing multiple model developers
  • Strong understanding of financial products and applicable modeling skills:
    • Free Cash Flow modeling
    • Capital Budgeting techniques, NPV, IRR
    • PPNR, CVA, Ops Risk, Retail/Wholesale,
    • Structured products (ABS, RMBS, etc.)
  • Expert programming skills in Python, SAS, SQL, R, MATLAB, or C++
  • Proven ability for effective client relationships management
  • A results-oriented, team-player attitude
  • Advanced degree in Economics, Mathematics, Statistics, Quantitative/Mathematical Finance or a closely related discipline (Masters or Ph.D.).
  • Extensive knowledge of various regression techniques, parametric and non-parametric algorithms, times series techniques, and other statistical models, various model validation tests/methodologies, using Python, R, SAS or similar statistical package
  • Advanced data compilation, programming skills and qualitative analysis skills
  • Thorough knowledge of the quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
  • Thorough knowledge of applicable regulatory rules, guidance, or supervisory letters - In depth knowledge of Bank products and services
  • Demonstrated independence, teamwork and leadership skills
  • Strong analytical, organizational, problem-solving, negotiation, and project management skills
  • Good quantitative financial knowledge in the areas of stochastic interest rate modeling, prepayment modeling, spread modeling, default modeling and cash flow modeling.
  • Good quantitative skills in the areas of structured finance, credit derivatives, default and recovery modeling and credit risk management.
  • In-depth knowledge of structured financial instruments (CDO, CMBS, ABS, RMBS) as well as corporate finance and capital adequacy for financial institutions desirable.
  • Strong ability to communicate complex technical results to non-quantitative audience.
  • Ability to work independently
  • Excellent communication and interpersonal skills

We offer:

  • Opportunity to work in an international, multi-cultural environment
  • Cooperation with a high quality team in a challenging area of the financial industry with one of the world's leading companies
  • Access to the latest technologies and tools
  • Opportunity to learn through participation in various projects and cross training
  • Attractive conditions of employment and benefits
  • High exposure coming from direct cooperation with senior management
Please be informed that we will contact selected candidates only.

Citi and Citi Handlowy are registered trademark of Citigroup Inc., used under license. Citigroup Inc. and its subsidiaries are also entitled to rights to certain other trademarks contained herein.

www.citihandlowy.pl
Bank Handlowy w Waszawie S.A

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