Job purpose

The ACT Team within Quantitative Risk and Stress Testing (QRS) has the mandate 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 team’s 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 team is highly technical and also requires significant interaction with US domestic and foreign regulators (OCC, FRB, PRA, BaFin, etc…) along with the ability to articulate complex concepts in a straight forward manner.

The main mandate of the ACT team is to replace the use of external consultants within QRS for Regulatory Remediation activities within any of the 10 different Quantitative teams within QRS, this occurs as short term (up to a few months) assignments on specific remediation efforts where the ACT team is embedded within specific teams within QRS to address regulatory findings. During time where there is no requirement to work on regulatory remediation, the team focuses on R&D work for QRS in the areas of Machine Learning, Artificial Intelligence, Big data, Agent-Based Modelling and any other quantitative area of interest to the QRS Leadership.

Job Background / context

This role is part of the Analytics Consulting Team (ACT) within 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 500 quantitative risk analysts and other professionals located in nine cities and six countries, and is responsible for over 250 risk models used within Citi. a global quantitative model development team spanning North America and Europe, to address regulatory matters that require quantitative skills to remediate.

The ACT Team reports to the Chief Strategy Officer for Quantitative Risk and Stress Testing (QRS) has the mandate 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 team’s 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 team is highly technical and also requires significant interaction with US domestic and foreign regulators (OCC, FRB, PRA, BaFin, etc…) along with the ability to articulate complex concepts in a straight forward manner.

Development Value:

Members of the ACT team will have exposure to multiple areas of the Quantitative Model Development space within QRS, as part of their day to day activities. Furthermore, by being embedded in the teams with which they will be working on regulatory remediation efforts, the team members will have significant exposure and learning opportunities as well as networking chances. Additionally, the R&D work that will be performed during the time not dedicated to regulatory remediation efforts, will allow incremental skillset and career development growth.

Responsibilities:

• Research, develop, and implement models for credit risk, market risk, and/or counterparty credit, including risk capital and/or stress testing

• Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance, and quality control of modelling data, e.g., historical market data used for model parameter calibration, and participate in annual model reviews

• Develop, maintain, and enhance technical and non-technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, processes and quality controls

• Support various tasks in response to regulatory and internal risk management requirements

Requirements:

• Experience or knowledge of one or more of the following topics is highly advantageous but not essential: derivative pricing, risk management practices, numerical methods including Monte Carlo simulation, statistical hypothesis testing, banking-or trading-book products, accounting and corporate finance, credit risk modelling, market risk modelling, counterparty risk modelling, risk capital modelling, stress testing

• Actual hands-on experience of quantitative financial modelling (research, development, implementation) and maintaining detailed technical documentation for models, model validation, projects plans and processes, is highly advantageous

• Solid programming skills, with experience of statistical/data analysis techniques and numerical implementations and some familiarity of modern software development tools, is required. Specific experience in SAS, Python, R, using statistical packages and regression models, C/C++, UNIX, databases, and version control systems is particularly advantageous

• Excellent written and verbal communication skills, with ability to synthesize complex technical information and explain it clearly, is required

• Fluency in speaking, reading, and writing English is required

• Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, etc.) is required. Master or higher degrees are advantageous, as is exceptional academic record (rewards, recognition, etc.)

• Other qualifications such as Financial Risk Manager (FRM), Chartered Financial Analysts (CFA), Certificate in Quantitative Finance (CQF), etc. are advantageous

• Demonstrable interest in applying sophisticated mathematical/analytical techniques to solve real-world problems—especially in banking, finance, or risk management—is required

• Highly motivated, with ability to work both independently and collaboratively

• Logical and thoughtful approach to work, with ability to perform well under pressure to meet tight deadlines

• Giving careful attention to detail, with capability to deliver high quality results

• Potential to build trusted relationships confidently at all levels

We offer:

• Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls

• Cooperation with a high quality, international, multicultural and global team

• Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

• Management supporting balanced and agile work (flexible working hours, home office)

• Attractive benefits package (Benefit System, medical care, pension plan etc.)

• A chance to make a difference with various affinity networks and charity initiatives